Numerical simulations of stochastic differential equations

DOI10.1007/BF01044719zbMath0712.65127MaRDI QIDQ749188

Ronald F. Fox

Publication date: 1989

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

zbMATH Keywords

stochastic differential equationsnumerical simulationcolored noisebistabilitymean first passage times

Mathematics Subject Classification ID

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

Related Items

Second-order algorithm for simulating stochastic differential equations with white noises ⋮ Numerical simulations of generalized Langevin equations with deeply asymptotic parameters ⋮ Accurate Monte Carlo tests of the stochastic Ginzburg-Landau model with multiplicative colored noise ⋮ Computation of Lyapunov spectra: Effect of interactive noise and application to a chemical oscillator ⋮ Impact of Colored Noise on Population Model with Allee Effect

Cites Work

• Unnamed Item
• Unnamed Item
• The Fokker-Planck equation. Methods of solution and applications
• Handbook of stochastic methods for physics, chemistry and the natural sciences
• Stochastic calculus in physics