(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.