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Numerical Integration of Langevin Equation

  1. Jan 20, 2014 #1
    Can anyone explain to me why the gaussian white noise term is multiplied by the square root of the time differential when we turn the Langevin differential equation into a finite difference equation for the purposes of integration?

    http://pre.aps.org/pdf/PRE/v50/i6/p4404_1 [Broken]

    The step I don't understand is the change in the last term in going from equation 3 to 4.

    Any help would be greatly appreciated, thanks!
    Last edited by a moderator: May 6, 2017
  2. jcsd
  3. Jan 21, 2014 #2


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  4. Jan 22, 2014 #3
    equation 3: Ocr12TW.png

    equation 4: oeahOsB.png

    Here are the two equations. Thanks for your help!
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