The stochastic method for numerical simulations:: Higher order corrections |
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| Authors: | I.T. Drummond S. Duane R.R. Horgan |
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| Affiliation: | 1. Department of Applied Mathematics and Theoretical Physics, University of Cambridge, Silver Street, Cambridge CB3 9EW, UK |
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| Abstract: | We derive discrete versions of stochastic differential equations governing the evolution of some random variable x(t) to arbitrary order in Δt, giving explicit formulae to second order. These are tested in the static case by examples where x takes values in the groups U(1) and SU(2). |
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