Fast simulations of stochastic dynamical systems

DOI10.1016/J.JCP.2005.02.010MaRDI QIDQ2485717zbMATH OpenOpenAlexFDO

Authors Renato Spigler, Juan A. Acebrón

Publication date 5 August 2005

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

Full work available at URL https://doi.org/10.1016/j.jcp.2005.02.010

zbMATH Keywords

Colored noise stochastic processFirst passage timelow-discrepancy sequencesnumerical examplesQuasi-Monte Carlo methodsQuasi-random numbersStochastic differential equationsstochastic dynamical systems

Mathematics Subject Classification ID

Generation, random and stochastic difference and differential equations (37H10) Simulation of dynamical systems (37M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

• A Quasi-Monte Carlo Approach to Particle Simulation of the Heat Equation
• Absorbing boundaries and optimal stopping in a stochastic differential equation
• Efficient numerical solution of stochastic differential equations using exponential timestepping
• Exponential Timestepping with Boundary Test for Stochastic Differential Equations
• Higher-order implicit strong numerical schemes for stochastic differential equations
• scientific article; zbMATH DE number 3942888 (Why is no real title available?)
• scientific article; zbMATH DE number 3555160 (Why is no real title available?)
• scientific article; zbMATH DE number 1215244 (Why is no real title available?)
• INTEGRATION OF STOCHASTIC DIFFERENTIAL EQUATIONS ON A COMPUTER
• On quasi-Monte Carlo simulation of stochastic differential equations
• Quasi-Monte Carlo methods and pseudo-random numbers
• Quasi-Monte Carlo simulation of diffusion

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• On the Monte Carlo simulation of physical systems
• Probabilistically induced domain decomposition methods for elliptic boundary-value problems
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• Fast simulation of Markov fluid models

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