INTEGRATION OF STOCHASTIC DIFFERENTIAL EQUATIONS ON A COMPUTER
- 21 November 2002
- journal article
- Published by World Scientific Pub Co Pte Ltd in International Journal of Modern Physics C
- Vol. 13 (9), 1177-1194
- https://doi.org/10.1142/s0129183102004042
Abstract
A brief introduction to the simulation of stochastic differential equations is presented. Algorithms to simulate rare fluctuations, a topic of interest in the light of recent theoretical work on optimal paths are studied. Problems connected to the treatment of the boundaries and correlated noise will also be discussed.Keywords
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