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Название: An Integral Algorithm for Numerical Integration of One-Dimensional Additive Colored Noise Problems
Авторы: Bao J., Abe Y., Zhuo Y.
Journal of Statistical Physics, Vol. 90, Nos. 3/4, 1998, p. 1037-1045.
We present an integral-closed algorithm for solving a Langevin equation driven
by an additive colored noise. Both the mean first passage time in a bistable
system and the diffusion current in a titled periodic potential are calculated and
the comparison with existing algorithms is carried out. The dependence of the
numerical results on the time steps is studied. Our algorithm is shown to have
high accuracy and stability.