We present and discuss an algorithm for integrating a set of stochastic differential equations driven by colored noise. The algorithm, being fully implicit for the stochastic differential equation governing the noise, is stable upon changing (the noise correlation time) to any desired value. In particular, the limit of vanishingly small can be safely taken, and the algorithm yields the corresponding white-noise quantities in a natural way.
Fast and precise algorithm for computer simulation of stochastic differential equations
Palleschi;
1989
Abstract
We present and discuss an algorithm for integrating a set of stochastic differential equations driven by colored noise. The algorithm, being fully implicit for the stochastic differential equation governing the noise, is stable upon changing (the noise correlation time) to any desired value. In particular, the limit of vanishingly small can be safely taken, and the algorithm yields the corresponding white-noise quantities in a natural way.File in questo prodotto:
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