Abstract
Numerical simulation algorithms for multiplicative noise (white or colored) are tested for accuracy against closed-form expressions for the Kubo oscillator. Direct white noise simulations lead to spurious decay of the modulus of the oscillator amplitude. A straightforward colored noise algorithm greatly reduces this decay and also provides highly accurate results in the white noise limit.
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Fox, R.F., Roy, R. & Yu, A.W. Tests of numerical simulation algorithms for the Kubo oscillator. J Stat Phys 47, 477–487 (1987). https://doi.org/10.1007/BF01007521
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DOI: https://doi.org/10.1007/BF01007521