Exponential Timestepping with Boundary Test for Stochastic Differential Equations
نویسندگان
چکیده
We present new numerical methods for scalar stochastic differential equations. Successive time increments are independent random variables with an exponential distribution. We perform numerical experiments using a double-well potential. Exponential timestepping algorithms are efficient for escape-time problems because a simple boundary test can be performed at the end of each step.
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عنوان ژورنال:
- SIAM J. Scientific Computing
دوره 24 شماره
صفحات -
تاریخ انتشار 2003