Efficient numerical solution of stochastic differential equations using
exponential timestepping
Journal of Statistical Physics
100 1097 (2000)
Kalvis Jansons
Department of Mathematics, University College London.
Gower Street WC1E 6BT, ENGLAND.
G.D. Lythe
GISC,
Departamento de Matemáticas
Universidad Carlos III de Madrid
Avenida de la Universidad 30
28911 Leganés, Madrid, Spain
Abstract
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
diffusing particles.
abstract
from Journal of Statistical Physics
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