Fast simulations of stochastic dynamical systems

DOI10.1016/j.jcp.2005.02.010zbMath1073.65007OpenAlexW2051244098MaRDI QIDQ2485717

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

numerical exampleslow-discrepancy sequencesstochastic dynamical systemsStochastic differential equationsQuasi-Monte Carlo methodsFirst passage timeColored noise stochastic processQuasi-random numbers

Mathematics Subject Classification ID

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

Related Items (1)

Probabilistically induced domain decomposition methods for elliptic boundary-value problems

Cites Work

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• Higher-order implicit strong numerical schemes for stochastic differential equations
• Quasi-Monte Carlo simulation of diffusion
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• A Quasi-Monte Carlo Approach to Particle Simulation of the Heat Equation
• Exponential Timestepping with Boundary Test for Stochastic Differential Equations
• INTEGRATION OF STOCHASTIC DIFFERENTIAL EQUATIONS ON A COMPUTER
• Efficient numerical solution of stochastic differential equations using exponential timestepping

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