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Efficient Numerical Solution of Stochastic Differential Equations Using Exponential Timestepping

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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.

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Authors and Affiliations

  1. Department of Mathematics, University College London, Gower Street, London, WC1E 6BT, England

    Kalvis M. Jansons

  2. T7 and Center for Nonlinear Studies, Los Alamos National Laboratory MS-B258, New Mexico, 87544

    G. D. Lythe

Authors
  1. Kalvis M. Jansons
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  2. G. D. Lythe
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Jansons, K.M., Lythe, G.D. Efficient Numerical Solution of Stochastic Differential Equations Using Exponential Timestepping. Journal of Statistical Physics 100, 1097–1109 (2000). https://doi.org/10.1023/A:1018711024740

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  • DOI: https://doi.org/10.1023/A:1018711024740

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