An integral algorithm for numerical integration of one-dimensional additive colored noise problems (Q1284826)

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).