An integral algorithm for numerical integration of one-dimensional additive colored noise problems (Q1284826): Difference between revisions
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Latest revision as of 02:47, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An integral algorithm for numerical integration of one-dimensional additive colored noise problems |
scientific article |
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An integral algorithm for numerical integration of one-dimensional additive colored noise problems (English)
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24 January 2000
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The authors consider an integral-closed algorithm for solving a Langevin equation driven by an additive colored noise. The derived algorithm is applied to calculate two types of problems. One of these is a mean first-passage-time problem, the other one is the diffusion current in a tilted ratchet-like potential. The authors give two examples of these problems and compare the results with those obtained by use of existing algorithms (one-step collocation, stochastic Runge-Kutta and genuine second-order algorithms).
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Langevin equation
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colored noise
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algorithms
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