Numerical integration of stochastic differential equations

Details Numerical integration of stochastic differential equations Numerical integration of stochastic differential equations

1997-09-29

arxiv.org/abs/cond-mat/9709326v1

Physics

Condensed Matter

Statistical Mechanics

ps file; 30 pages including figures

Scientific paper

Numerical algorithms for the integration of stochastic differential equations
in the presence of white noise are introduced and compared. Algorithms for the
integration of stochastic correlated forces are also briefly reviewed. Finally,
a specialised algorithm for two dimensional systems is derived, having in mind
the integration of particles in the liquid state.

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