A General Implicit Splitting for Stabilizing Numerical Simulations of Langevin Equations
High Energy Physics - Lattice
2007-05-23 v1
Abstract
In this paper is described a general 2-nd order accurate (weak sense) procedure for stablizing Monte-Carlo simulations of Ito stochastic differential equations. The splitting procedure includes explicit Runge-Kutta methods, semi-implicit methods, and trapezoidal Rule. We prove the semi-implicit method of Oettinger and note that it may be generalized for arbitrary splittings.
Cite
@article{arxiv.hep-lat/9602008,
title = {A General Implicit Splitting for Stabilizing Numerical Simulations of Langevin Equations},
author = {W. P. Petersen},
journal= {arXiv preprint arXiv:hep-lat/9602008},
year = {2007}
}
Comments
19 pages, 2 Figures, uuencoded, compressed, postscript, 218.5 KB (output name Itostab.ps)