Numerical simulations of stochastic differential equations

DOI10.1007/BF01044719MaRDI QIDQ749188zbMATH OpenFDO

Authors Ronald F. Fox

Publication date 1989

Published in Journal of Statistical Physics (Search for Journal in Brave)

zbMATH Keywords

colored noisenumerical simulationstochastic differential equationsbistabilitymean first passage times

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical methods for initial value problems involving ordinary differential equations (65L05)

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Cites work

• scientific article; zbMATH DE number 3303655 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• Handbook of stochastic methods for physics, chemistry and the natural sciences
• Stochastic calculus in physics
• The Fokker-Planck equation. Methods of solution and applications

Cited in

(16)

• Computer simulations of multiplicative stochastic differential equations
• Computation of Lyapunov spectra: Effect of interactive noise and application to a chemical oscillator
• Numerical integration of stochastic differential equations.
• Accurate Monte Carlo tests of the stochastic Ginzburg-Landau model with multiplicative colored noise
• Second-order algorithm for simulating stochastic differential equations with white noises
• scientific article; zbMATH DE number 4028851 (Why is no real title available?)
• Colored-noise-like multiple Itô stochastic integrals: algorithms and numerics
• INTEGRATION OF STOCHASTIC DIFFERENTIAL EQUATIONS ON A COMPUTER
• scientific article; zbMATH DE number 822846 (Why is no real title available?)
• Impact of colored noise on population model with Allee effect
• Stochastic calculus in physics
• Numerical solutions for non-Markovian stochastic equations of motion
• scientific article; zbMATH DE number 15835 (Why is no real title available?)
• Numerical solution of differential equations with colored noise
• scientific article; zbMATH DE number 1500890 (Why is no real title available?)
• Numerical simulations of generalized Langevin equations with deeply asymptotic parameters

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