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An Integral Algorithm for Numerical Integration of One-Dimensional Additive Colored Noise Problems |
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| Authors: | Jingdong Bao Yasuhisa Abe Yizhong Zhuo |
| Institution: | (1) Beijing Meteorological College, Beijing, 100081, China;(2) Yukawa Institute for Theoretical Physics, Kyoto University, Kyoto, 606, Japan;(3) Institute of Atomic Energy, P.O. Box 275, Beijing, 102413, China, and;(4) Institute of Theoretical Physics, Academia Sinica, Beijing, 100080, China |
| Abstract: | 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. |
| Keywords: | Algorithms colored noise Langevin equation mean first passage time current |
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