High-order strong methods for stochastic differential equations with colored noises

27 Sep 2019 Sun Shuanglin Yan Yun-An

The key difficulty to develop efficient high-order methods for integrating stochastic differential equations lies in the calculations of the multiple stochastic integrals. This letter suggests a scheme to compute the stochastic integrals for the colored noises based on the white noise representation... (read more)

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  • CHEMICAL PHYSICS
  • COMPUTATIONAL PHYSICS
  • QUANTUM PHYSICS