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An Integral Algorithm for Numerical Integration of One-Dimensional Additive Colored Noise Problems

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Abstract

We present an integral-closed algorithm for solving a Langevin equation driven by an additive colored noise. Both the mean first passage time in a bistable system and the diffusion current in a titled periodic potential are calculated and the comparison with existing algorithms is carried out. The dependence of the numerical results on the time steps is studied. Our algorithm is shown to have high accuracy and stability.

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Authors and Affiliations

  1. Beijing Meteorological College, Beijing, 100081, China

    Jingdong Bao

  2. Yukawa Institute for Theoretical Physics, Kyoto University, Kyoto, 606, Japan

    Yasuhisa Abe

  3. Institute of Atomic Energy, P.O. Box 275, Beijing, 102413, China, and

    Yizhong Zhuo

  4. Institute of Theoretical Physics, Academia Sinica, Beijing, 100080, China

    Yizhong Zhuo

Authors
  1. Jingdong Bao
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  2. Yasuhisa Abe
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  3. Yizhong Zhuo
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Bao, J., Abe, Y. & Zhuo, Y. An Integral Algorithm for Numerical Integration of One-Dimensional Additive Colored Noise Problems. Journal of Statistical Physics 90, 1037–1045 (1998). https://doi.org/10.1023/A:1023201725795

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  • DOI: https://doi.org/10.1023/A:1023201725795

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