Exponential timestepping with boundary test for
stochastic differential equations
SIAM Journal on Scientific Computing
24 1809-1822 (2003)
Department of Mathematics, University College London.
Gower Street WC1E 6BT, England.
Department of Applied Mathematics , University of Leeds
LS2 9JT, UK
We present new numerical methods for scalar stochastic
differential equations. Successive time increments are independent
random variables with an exponential distribution. We perform
numerical experiments using a double-well potential.
Exponential timestepping algorithms are efficient for escape
time problems because a simple boundary test can be performed
at the end of each step.