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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