Integration of stochastic differential equations on a computer

被引：133

作者：

Mannella, R

机构：

[1] Univ Pisa, Dipartimento Fis, I-56100 Pisa, Italy

[2] UDR Pisa, Ist Nazl Fis Mat, I-56100 Pisa, Italy

来源：

INTERNATIONAL JOURNAL OF MODERN PHYSICS C | 2002年 / 13卷 / 09期

关键词：

numerical integration; stochastic differential equations; large fluctuations; correlated noise;

D O I：

10.1142/S0129183102004042

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

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.

引用

页码：1177 / 1194

页数：18

共 31 条

[21]

MANNELLA R, 1989, NOISE NONLINEAR DYNA, V3, P189

[22]

Mannella R., 2000, STOCHASTIC PROCESSES, P353, DOI [10.1007/3-540-45396-2_32, DOI 10.1007/3-540-45396-2_32]

[23] An algorithm for strongly correlated noise [J].

Mannella, Riccardo .

FLUCTUATION AND NOISE LETTERS, 2001, 1 (02) :L45-L50

[24] A FAST, EASILY IMPLEMENTED METHOD FOR SAMPLING FROM DECREASING OR SYMMETRIC UNIMODAL DENSITY-FUNCTIONS [J].

MARSAGLIA, G ;

TSANG, WW .

SIAM JOURNAL ON SCIENTIFIC AND STATISTICAL COMPUTING, 1984, 5 (02) :349-359

[25] Numerical methods in the weak sense for stochastic differential equations with small noise [J].

Milstein, GN ;

TretYakov, MV .

SIAM JOURNAL ON NUMERICAL ANALYSIS, 1997, 34 (06) :2142-2167

[26] NUMERICAL-SOLUTION OF ITO INTEGRAL-EQUATIONS [J].

RAO, NJ ;

BORWANKAR, JD ;

RAMKRISHNA, D .

SIAM JOURNAL ON CONTROL, 1974, 12 (01) :124-139

[27] ANALYTICAL AND NUMERICAL-STUDIES OF MULTIPLICATIVE NOISE [J].

SANCHO, JM ;

MIGUEL, MS ;

KATZ, SL ;

GUNTON, JD .

PHYSICAL REVIEW A, 1982, 26 (03) :1589-1609

[28] HARMONIC NOISE - EFFECT ON BISTABLE SYSTEMS [J].

SCHIMANSKYGEIER, L ;

ZULICKE, C .

ZEITSCHRIFT FUR PHYSIK B-CONDENSED MATTER, 1990, 79 (03) :451-460

[29]

Soong TT., 1973, Random differential equations in science and engineering

[30]

STRITTMATTER W, 1987, 8712 THEP

← 1 2 3 4 →