Stochastic differential equations

  • Dietrich E. Wolf
Conference paper
Part of the Lecture Notes in Physics book series (LNP, volume 501)


Elementary concepts of stochastic differential equations (SDE) and algorithms for their numerical solution are reviewed and illustrated by the physical problems of Brownian motion (ordinary SDE) and surface growth (partial SDE). Discretization schemes, systematic errors and instabilities are discussed. For surface growth also some recent results are presented.


Brownian Motion Stochastic Differential Equation Wiener Process Shot Noise Langevin Equation 
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Copyright information

© Springer-Verlag 1998

Authors and Affiliations

  • Dietrich E. Wolf
    • 1
  1. 1.Gerhard-Mercator-UniversitätDuisburgGermany

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