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Integration Of Stochastic Differential Equations On A Computer

Author

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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)

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.

Suggested Citation

  • Riccardo Mannella, 2002. "Integration Of Stochastic Differential Equations On A Computer," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 13(09), pages 1177-1194.
    • Handle: RePEc:wsi:ijmpcx:v:13:y:2002:i:09:n:s0129183102004042
    DOI: 10.1142/S0129183102004042
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    Cited by:

    1. Baxley, Jacob D. & Lambert, David R. & Bologna, Mauro & West, Bruce J. & Grigolini, Paolo, 2023. "Unveiling pseudo-crucial events in noise-induced phase transitions," Chaos, Solitons & Fractals, Elsevier, vol. 172(C).
    2. Semenov, Vladimir V. & Bukh, Andrei V. & Semenova, Nadezhda, 2023. "Delay-induced self-oscillation excitation in the Fitzhugh–Nagumo model: Regular and chaotic dynamics," Chaos, Solitons & Fractals, Elsevier, vol. 172(C).

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