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Efficient Numerical Solution of Stochastic Differential Equations Using Exponential Timestepping |
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| Authors: | Kalvis M Jansons G D Lythe |
| Institution: | (1) Department of Mathematics, University College London, Gower Street, London, WC1E 6BT, England;(2) T7 and Center for Nonlinear Studies, Los Alamos National Laboratory MS-B258, New Mexico, 87544 |
| Abstract: | We present an exact timestepping method for Brownian motion that does not require Gaussian random variables to be generated. Time is incremented in steps that are exponentially-distributed random variables; boundaries can be explicitly accounted for at each timestep. The method is illustrated by numerical solution of a system of diffusing particles. |
| Keywords: | stochastic calculus stochastic algorithms Wiener process diffusion with boundaries |
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