A unified view of hierarchy approach and formula of differentiation

Abstract

The stochastic differential equation is a powerful tool for describing the dynamics of a dissipative system in which noise characterizes the influence of the environment. For the Ornstein-Uhlenbeck noise, both the formula of differentiation and the hierarchy approach provide efficient numerical simulations, with the stochastic differential equation transformed into a set of coupled, linear ordinary differential equations. We show that while these two deterministic schemes result in different sets of equations, they can be regarded as two representations of an underlying linear-dynamics. Moreover, by manipulating the involved Ornstein-Uhlenbeck noise, we propose a unified algorithm that may reduce to the hierarchy approach or the formula of differentiation in different limits. We further analyze the numerical performance of this algorithm and find that the hierarchy approach appears to be more efficient for our numerical model studies.