Milshtein G.N., Tret'yakov M.V. — Numerical Solution of Differential Equations with Colored Noise
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Название: Numerical Solution of Differential Equations with Colored Noise
Авторы: Milshtein G.N., Tret'yakov M.V.
Аннотация:
Journal of Statistical Physics, VoL 77, Nos. 3/4, 1994. p. 691-715.
Using the general theory of numerical integration of stochastic differential equations, a constructive approach to numerical methods for a system with colored noise is proposed. Efficient methods up to the 5/2 strong order and up to the third weak order, including Runge-Kutta and implicit schemes, are presented.
The algorithms are tested on the Kubo oscillator.
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