Numerical integration of stochastic differential equations
Statistical Mechanics
2008-02-03 v1 Disordered Systems and Neural Networks
Abstract
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.
Cite
@article{arxiv.cond-mat/9709326,
title = {Numerical integration of stochastic differential equations},
author = {Riccardo Mannella},
journal= {arXiv preprint arXiv:cond-mat/9709326},
year = {2008}
}
Comments
ps file; 30 pages including figures