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Stochastic differential equations

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

Abstract

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.

Keywords

Brownian Motion Stochastic Differential Equation Wiener Process Shot Noise Langevin Equation 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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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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