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


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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