Exponential timestepping with boundary test for stochastic differential equations


SIAM Journal on Scientific Computing 24 1809-1822 (2003)

Kalvis Jansons

Department of Mathematics, University College London.
Gower Street WC1E 6BT, England.

G.D. Lythe

Department of Applied Mathematics , University of Leeds
LS2 9JT, UK


Abstract

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.

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