Abstract
A higher-order algorithm for the numerical integration of one-variable, additive, white-noise equations is developed. The method of development is to extend standard deterministic Runge-Kutta algorithms to include stochastic terms. The ability of the algorithm to generate proper correlation properties is tested on the Ornstein-Uhlenbeck process, showing higher accuracy even with longer step size.
- Received 6 June 1991
DOI:https://doi.org/10.1103/PhysRevA.45.600
©1992 American Physical Society