Abstract
A simple, very accurate algorithm for numerical simulation of stochastic differential equations is described. Its relationship to colored noise is elucidated and exhibited by explicit results. The especially delicate problem of mean first passage times is highlighted and highly accurate agreement between the numerical simulations and analytic results are shown.
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Fox, R.F. Numerical simulations of stochastic differential equations. J Stat Phys 54, 1353–1366 (1989). https://doi.org/10.1007/BF01044719
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DOI: https://doi.org/10.1007/BF01044719