Efficient numerical integrators for stochastic models

Details Efficient numerical integrators for stochastic models Efficient numerical integrators for stochastic models

2005-02-11

arxiv.org/abs/physics/0502064v2

Physica A 361, 429 (2006)

Physics

Computational Physics

v2

Scientific paper

10.1016/j.physa.2005.06.090

The efficient simulation of models defined in terms of stochastic differential equations (SDEs) depends critically on an efficient integration scheme. In this article, we investigate under which conditions the integration schemes for general SDEs can be derived using the Trotter expansion. It follows that, in the stochastic case, some care is required in splitting the stochastic generator. We test the Trotter integrators on an energy-conserving Brownian model and derive a new numerical scheme for dissipative particle dynamics. We find that the stochastic Trotter scheme provides a mathematically correct and easy-to-use method which should find wide applicability.

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