A Second-Order Stochastic Leap-Frog Algorithm for Multiplicative Noise Brownian Motion

Details A Second-Order Stochastic Leap-Frog Algorithm for Multiplicative Noise Brownian Motion A Second-Order Stochastic Leap-Frog Algorithm for Multiplicative Noise Brownian Motion

1999-12-30

arxiv.org/abs/physics/9912055v2

Physics

Computational Physics

8 pages, 5 figures, revtex; typos corrected, PACS numbers fixed

Scientific paper

10.1103/PhysRevE.62.7430

A stochastic leap-frog algorithm for the numerical integration of Brownian motion stochastic differential equations with multiplicative noise is proposed and tested. The algorithm has a second-order convergence of moments in a finite time interval and requires the sampling of only one uniformly distributed random variable per time step. The noise may be white or colored. We apply the algorithm to a study of the approach towards equilibrium of an oscillator coupled nonlinearly to a heat bath and investigate the effect of the multiplicative noise (arising from the nonlinear coupling) on the relaxation time. This allows us to test the regime of validity of the energy-envelope approximation method.

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