Efficient Numerical Solution of Stochastic Differential Equations Using Exponential Timestepping
- Cite this article as:
- Jansons, K.M. & Lythe, G.D. Journal of Statistical Physics (2000) 100: 1097. doi:10.1023/A:1018711024740
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We present an exact timestepping method for Brownian motion that does not require Gaussian random variables to be generated. Time is incremented in steps that are exponentially-distributed random variables; boundaries can be explicitly accounted for at each timestep. The method is illustrated by numerical solution of a system of diffusing particles.