INTEGRATION OF STOCHASTIC DIFFERENTIAL EQUATIONS ON A COMPUTER

Riccardo Mannella ()
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Riccardo Mannella: Dipartimento di Fisica, Università di Pisa and Istituto Nazionale Fisica della Materia, UdR Pisa, Via Buonarroti 2, 56100 Pisa, Italy

International Journal of Modern Physics C (IJMPC), 2002, vol. 13, issue 09, 1177-1194

Abstract: A brief introduction to the simulation of stochastic differential equations is presented. Algorithms to simulate rare fluctuations, a topic of interest in the light of recent theoretical work on optimal paths are studied. Problems connected to the treatment of the boundaries and correlated noise will also be discussed.

Keywords: Numerical integration; stochastic differential equations; large fluctuations; correlated noise (search for similar items in EconPapers)
Date: 2002
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DOI: 10.1142/S0129183102004042

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