dorsal/arxiv
View SchemaEfficient numerical integrators for stochastic models
| Authors | G. De Fabritiis, M. Serrano, P. Español, P. V. Coveney |
|---|---|
| Categories | |
| ArXiv ID | physics/0502064 |
| URL | https://arxiv.org/abs/physics/0502064 |
| DOI | 10.1016/j.physa.2005.06.090 |
| Journal | Physica A 361, 429 (2006) |
Abstract
The efficient simulation of models defined in terms of stochastic differential equations (SDEs) depends critically on an efficient integration scheme. In this article, we investigate under which conditions the integration schemes for general SDEs can be derived using the Trotter expansion. It follows that, in the stochastic case, some care is required in splitting the stochastic generator. We test the Trotter integrators on an energy-conserving Brownian model and derive a new numerical scheme for dissipative particle dynamics. We find that the stochastic Trotter scheme provides a mathematically correct and easy-to-use method which should find wide applicability.
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"abstract": "The efficient simulation of models defined in terms of stochastic\ndifferential equations (SDEs) depends critically on an efficient integration\nscheme. In this article, we investigate under which conditions the integration\nschemes for general SDEs can be derived using the Trotter expansion. It follows\nthat, in the stochastic case, some care is required in splitting the stochastic\ngenerator. We test the Trotter integrators on an energy-conserving Brownian\nmodel and derive a new numerical scheme for dissipative particle dynamics. We\nfind that the stochastic Trotter scheme provides a mathematically correct and\neasy-to-use method which should find wide applicability.",
"arxiv_id": "physics/0502064",
"authors": [
"G. De Fabritiis",
"M. Serrano",
"P. Espa\u00f1ol",
"P. V. Coveney"
],
"categories": [
"physics.comp-ph"
],
"doi": "10.1016/j.physa.2005.06.090",
"journal_ref": "Physica A 361, 429 (2006)",
"title": "Efficient numerical integrators for stochastic models",
"url": "https://arxiv.org/abs/physics/0502064"
},
"schema_id": "dorsal/arxiv",
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"type": "Model",
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