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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Bibliographic Details
Published in:Journal of computational physics 2005-09, Vol.208 (1), p.106-115
Main Authors: Acebrón, Juan A., Spigler, Renato
Format: Article
Language:English
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
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Description
Summary: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