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Quasi symplectic integrators for stochastic differential equations

R Mannella
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Abstract

Two specialized algorithms for the numerical integration of the equations of motion of a Brownian walker obeying detailed balance are introduced. The algorithms become symplectic in the appropriate limits, and reproduce the equilibrium distributions to some higher order in the integration time step. Comparisons with other existing integration schemes are carried out both for static and dynamical quantities.

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R Mannella. 2003-12-04. Quasi symplectic integrators for stochastic differential equations. https://doi.org/10.1103/physreve.69.041107

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