A brief introduction to the simulation of stochastic differential equations is presented. Algorithms to simulate rare fluctuations, a topic of interest in the light of recent theoretical work on optimal paths are studied. Problems connected to the treatment of the boundaries and correlated noise will also be discussed.
|Titolo:||Integration of stochastic differential equations on a computer|
|Anno del prodotto:||2002|
|Digital Object Identifier (DOI):||10.1142/S0129183102004042|
|Appare nelle tipologie:||1.1 Articolo in rivista|