Fast simulations of stochastic dynamical systems

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...

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Veröffentlicht in:	Journal of computational physics 2005-09, Vol.208 (1), p.106-115
Hauptverfasser:	Acebrón, Juan A., Spigler, Renato
Format:	Artikel
Sprache:	eng
Schlagworte:	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
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Beschreibung
Zusammenfassung:	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.
ISSN:	0021-9991 1090-2716
DOI:	10.1016/j.jcp.2005.02.010