We develop a fourth order simulation algorithm for solving the stochastic Langevin equation. The method consists of identifying solvable operators in the Fokker-Planck equation, factorizing the evolution operator for small time steps to fourth order and implementing the factorization process numerically. A key contribution of this work is to show how certain double commutators in the factorizat...

In this paper, we consider a non-self-adjoint, singular, nonlinear fourth order boundary value problem which arises in the theory of epitaxial growth. It is possible to reduce the fourth order equation to a singular boundary value problem of second order given by w''-1/r w'=w^2/(2r^2 )+1/2 λ r^2. The problem depends on the parameter λ and admits multiple solutions. Therefore, it is difficult to...

We develop a fourth-order simulation algorithm for solving the stochastic Langevin equation. The method consists of identifying solvable operators in the Fokker-Planck equation, factorizing the evolution operator for small time steps to fourth order, and implementing the factorization process numerically. A key contribution of this paper is to show how certain double commutators in the factoriz...

in this paper, a high-order and conditionally stable stochastic difference scheme is proposed for the numerical solution of $rm ithat{o}$ stochastic advection diffusion equation with one dimensional white noise process. we applied a finite difference approximation of fourth-order for discretizing space spatial derivative of this equation. the main properties of deterministic difference schemes,...