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Numerical integration of stochastic differential equations

Riccardo Mannella
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Abstract

Numerical algorithms for the integration of stochastic differential equations in the presence of white noise are introduced and compared. Algorithms for the integration of stochastic correlated forces are also briefly reviewed. Finally, a specialised algorithm for two dimensional systems is derived, having in mind the integration of particles in the liquid state.

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Riccardo Mannella. 1997-09-29. Numerical integration of stochastic differential equations. https://arxiv.org/abs/cond-mat/9709326

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