Abstract
Using the general theory of numerical integration of stochastic differential equations, a constructive approach to numerical methods for a system with colored noise is proposed. Efficient methods up to the 5/2 strong order and up to the third weak order, including Runge-Kutta and implicit schemes, are presented. The algorithms are tested on the Kubo oscillator.
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Milshtein, G.N., Tret'yakov, M.V. Numerical solution of differential equations with colored noise. J Stat Phys 77, 691–715 (1994). https://doi.org/10.1007/BF02179457
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DOI: https://doi.org/10.1007/BF02179457