Second-order stochastic leapfrog algorithm for multiplicative noise Brownian motion
نویسندگان
چکیده
منابع مشابه
Second-order stochastic leapfrog algorithm for multiplicative noise brownian motion
A stochastic leapfrog algorithm for the numerical integration of Brownian motion stochastic differential equations with multiplicative noise is proposed and tested. The algorithm has a second-order convergence of moments in a finite time interval and requires the sampling of only one uniformly distributed random variable per time step. The noise may be white or colored. We apply the algorithm t...
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ژورنال
عنوان ژورنال: Physical Review E
سال: 2000
ISSN: 1063-651X,1095-3787
DOI: 10.1103/physreve.62.7430