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3
votes
1answer
145 views

White noise $\eta(t)$

How to make a random function $\eta(t)$ to insert in a differential equation for NDSolve? Edit: example: to solve equations like $\frac{dx}{dt}=\eta(t)$
25
votes
2answers
1k views

Efficient Langevin Equation Solver

This question is not about good algorithms for solving stochastic differential equations. It is about how to implement simple codes in Mathematica efficiently exploiting Mathematica's programming ...