An integral algorithm for numerical integration of one-dimensional additive colored noise problems
type: Item
instance of: scholarly article
title: An integral algorithm for numerical integration of one-dimensional additive colored noise problems
zbMATH Open document ID: 0929.60044
DOI: 10.1023/A:1023201725795
author: Yasuhisa Abe
author: Yizhong Zhuo
author: Jing-Dong Bao
published in: Journal of Statistical Physics
publication date: 2000-01-24T00:00:00Z
review text: The authors consider an integral-closed algorithm for solving a Langevin equation driven by an additive colored noise. The derived algorithm is applied to calculate two types of problems. One of these is a mean first-passage-time problem, the other one is the diffusion current in a tilted ratchet-like potential. The authors give two examples of these problems and compare the results with those obtained by use of existing algorithms (one-step collocation, stochastic Runge-Kutta and genuine second-order algorithms).
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 82C31
Mathematics Subject Classification ID: 82C80
Mathematics Subject Classification ID: 65C20
zbMATH DE Number: 1279387
zbMATH Keywords: Langevin equation
zbMATH Keywords: colored noise
zbMATH Keywords: algorithms
reviewed by: Maria Stolarczyk
MaRDI profile type: Publication
description: scientific article; zbMATH DE number 1279387