Fast simulations of stochastic dynamical systems

• Published in: Journal of computational physics Vol. 208; no. 1; pp. 106 - 115
• Main Authors: Acebrón, Juan A., Spigler, Renato
• Format: Journal Article
• Language: English
• Published: Amsterdam Elsevier Inc 01.09.2005; Elsevier
• Subjects: CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSICS; Colored noise stochastic process; Computation; Computational techniques; Computer simulation; COMPUTERIZED SIMULATION; DIFFERENTIAL EQUATIONS; Dynamical systems; Exact sciences and technology; First passage time; Mathematical methods in physics; Mathematical models; MATHEMATICAL SOLUTIONS; MONTE CARLO METHOD; NOISE; Physics; Pseudorandom; Quasi-Monte Carlo methods; Quasi-random numbers; RANDOMNESS; Stochastic differential equations; STOCHASTIC PROCESSES; Stochasticity; 65C20; Quasi-random numbers; Stochastic differential equations; Colored noise stochastic process; 65C30; First passage time; 65C05; Quasi-Monte Carlo methods; Stochastic processes; Stochastic simulation; Color noise; Dynamical systems; Calculation methods; 65C30 Stochastic differential equations; Monte Carlo methods; Stochastic systems; Differential equations; Calculation; Stochastic equation; Random sequences
• ISSN: 0021-9991; 1090-2716
• DOI: 10.1016/j.jcp.2005.02.010

A number of features relevant to stochastic dynamical systems, such as moments of solutions and first passage times, can be efficiently computed resorting to sequences of quasi-random numbers (low-discrepancy sequences). This method represents an alternative choice to the use of pseudorandom numbers, provided that a special care is paid to keep sufficiently uncorrelated as well as uniform the former sequences.