Efficient numerical solution of stochastic differential equations using exponential timestepping

被引：21

作者：

Jansons, KM

Lythe, GD

机构：

[1] UCL, Dept Math, London WC1E 6BT, England

[2] Los Alamos Natl Lab, T7, Los Alamos, NM 87544 USA

[3] Los Alamos Natl Lab, Ctr Nonlinear Studies, Los Alamos, NM 87544 USA

来源：

JOURNAL OF STATISTICAL PHYSICS | 2000年 / 100卷 / 5-6期

关键词：

stochastic calculus; stochastic algorithm; Wiener process; diffusion with boundaries;

D O I：

10.1023/A:1018711024740

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

We present an exact timestepping method for Brownian motion that does not require Gaussian random variables to be generated. Time is incremented in steps that are exponentially-distributed random variables; boundaries can be explicitly accounted for at each timestep. The method is illustrated by numerical solution of a system of diffiising particles.

引用

页码：1097 / 1109

页数：13

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