Efficient numerical solution of stochastic differential equations using exponential timestepping

Authors
Jansons, KM Lythe, GD
Citation
Km. Jansons et Gd. Lythe, Efficient numerical solution of stochastic differential equations using exponential timestepping, J STAT PHYS, 100(5-6), 2000, pp. 1097-1109
Citations number
17
Categorie Soggetti
Physics
Journal title
JOURNAL OF STATISTICAL PHYSICS
ISSN journal
00224715 → ACNP
Volume
100
Issue
5-6
Year of publication
2000
Pages
1097 - 1109
Database
ISI
SICI code
0022-4715(200009)100:5-6<1097:ENSOSD>2.0.ZU;2-8
Abstract
We present an exact timestepping method for Brownian motion that does not r equire Gaussian random variables to be generated. Time is incremented in st eps that are exponentially-distributed random variables; boundaries can be explicitly accounted for at each timestep. The method is illustrated by num erical solution of a system of diffiising particles.