Abstract
Elementary concepts of stochastic differential equations (SDE) and algorithms for their numerical solution are reviewed and illustrated by the physical problems of Brownian motion (ordinary SDE) and surface growth (partial SDE). Discretization schemes, systematic errors and instabilities are discussed. For surface growth also some recent results are presented.
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© 1998 Springer-Verlag
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Wolf, D.E. (1998). Stochastic differential equations. In: Kertész, J., Kondor, I. (eds) Advances in Computer Simulation. Lecture Notes in Physics, vol 501. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0105462
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DOI: https://doi.org/10.1007/BFb0105462
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