Numerical integration of stochastic differential equations
Riccardo Mannella (Dipartimento di Fisica, Universita` di Pisa)
TL;DR
This paper introduces and compares numerical algorithms for integrating stochastic differential equations, including specialized methods for two-dimensional systems relevant to liquid state particle simulations.
Contribution
It presents new algorithms for stochastic differential equations, including a specialized method for 2D systems in liquid state simulations, and reviews existing algorithms for correlated forces.
Findings
Algorithms for stochastic differential equations are compared.
A specialized 2D integration algorithm is derived.
The paper reviews algorithms for correlated stochastic forces.
Abstract
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.
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Taxonomy
TopicsSoil Geostatistics and Mapping · Theoretical and Computational Physics · Characterization and Applications of Magnetic Nanoparticles