arXiv:cond-mat/9709326 Abstract

arXiv:cond-mat/9709326Abstract References Reviews Resources

Numerical integration of stochastic differential equations

Published 1997-09-29Version 1

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.

Comments: ps file; 30 pages including figures

Categories: cond-mat.stat-mech, cond-mat.dis-nn

Keywords: stochastic differential equations, numerical integration, stochastic correlated forces, white noise, dimensional systems

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