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A numerical algorithm of first-order for systems driven by correlated noises
Fu Haixiang, Cao Li, Wu Dajin
CHINESE JOURNAL OF COMPUTATIONAL PHYSICS
1999, 16 (5):
481-488.
A first-order algorithm of numerical solution is developed for systems simultaneously driven by correlated additive noise and multiplicative noise,both in the case that the multi-plicative noise is of white and of colored noise.As an example,the steady state probability distribution of bistable model is computed.Results verifies that this algorithm is applicable.
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