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