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Numerical integration of stochastic differential equations

Mannella, Riccardo (1997) Numerical integration of stochastic differential equations. arXiv .

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Abstract

SUMMARY Numerical algorithms for the integration of stochastic differential equations in the presence of white noise are introduced and compared. Algorithms for the integration of stochastic correlated forces are also briefly reviewed. Finally, a specialised algorithm for two dimensional systems is derived, having in mind the integration of particles in the liquid state.

Item Type: Article
Additional Information: Imported from arXiv
Subjects: Area02 - Scienze fisiche > FIS/03 - Fisica della materia
Divisions: Dipartimenti (from 2013) > DIPARTIMENTO DI FISICA
Depositing User: dott.ssa Sandra Faita
Date Deposited: 06 Aug 2013 12:57
Last Modified: 06 Aug 2013 12:57
URI: http://eprints.adm.unipi.it/id/eprint/1421

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