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.
Integration of stochastic differential equations on a computer
MANNELLA, RICCARDO
2002-01-01
Abstract
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.File in questo prodotto:
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