Efficient numerical integrators for stochastic models

G. De Fabritiis, M. Serrano, P. Español and P.V. Coveney

Physica A: Statistical Mechanics and its Applications, 2006, vol. 361, issue 2, 429-440

Abstract: 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.

Keywords: Trotter formula; Numerical simulations; Stochastic differential equations; Mesoscopic models; Dissipative particle dynamics; Brownian dynamics (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:361:y:2006:i:2:p:429-440

DOI: 10.1016/j.physa.2005.06.090

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