<?xml version="1.0" encoding="UTF-8"?><!DOCTYPE article  PUBLIC "-//NLM//DTD Journal Publishing DTD v3.0 20080202//EN" "http://dtd.nlm.nih.gov/publishing/3.0/journalpublishing3.dtd"><article xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink" dtd-version="3.0" xml:lang="en" article-type="research article"><front><journal-meta><journal-id journal-id-type="publisher-id">JMP</journal-id><journal-title-group><journal-title>Journal of Modern Physics</journal-title></journal-title-group><issn pub-type="epub">2153-1196</issn><publisher><publisher-name>Scientific Research Publishing</publisher-name></publisher></journal-meta><article-meta><article-id pub-id-type="doi">10.4236/jmp.2021.121003</article-id><article-id pub-id-type="publisher-id">JMP-106422</article-id><article-categories><subj-group subj-group-type="heading"><subject>Articles</subject></subj-group><subj-group subj-group-type="Discipline-v2"><subject>Physics&amp;Mathematics</subject></subj-group></article-categories><title-group><article-title>
 
 
  Stochastic Simulation of Emission Spectra and Classical Photon Statistics of Quantum Dot Superluminescent Diodes
 
</article-title></title-group><contrib-group><contrib contrib-type="author" xlink:type="simple"><name name-style="western"><surname>Kai</surname><given-names>Niklas Hansmann</given-names></name><xref ref-type="aff" rid="aff1"><sup>1</sup></xref></contrib><contrib contrib-type="author" xlink:type="simple"><name name-style="western"><surname>Reinhold</surname><given-names>Walser</given-names></name><xref ref-type="aff" rid="aff1"><sup>1</sup></xref></contrib></contrib-group><aff id="aff1"><addr-line>Technische Universit&amp;amp;auml;t Darmstadt, Institut für Angewandte Physik, Hochschulstra&amp;amp;szlig;e 4a, Darmstadt, Germany</addr-line></aff><pub-date pub-type="epub"><day>05</day><month>01</month><year>2021</year></pub-date><volume>12</volume><issue>01</issue><fpage>22</fpage><lpage>34</lpage><history><date date-type="received"><day>27,</day>	<month>November</month>	<year>2020</year></date><date date-type="rev-recd"><day>5,</day>	<month>January</month>	<year>2021</year>	</date><date date-type="accepted"><day>8,</day>	<month>January</month>	<year>2021</year></date></history><permissions><copyright-statement>&#169; Copyright  2014 by authors and Scientific Research Publishing Inc. </copyright-statement><copyright-year>2014</copyright-year><license><license-p>This work is licensed under the Creative Commons Attribution International License (CC BY). http://creativecommons.org/licenses/by/4.0/</license-p></license></permissions><abstract><p>
 
 
  We present a stochastic procedure to investigate the correlation spectra of quantum dot superluminescent diodes. The classical electric field of a diode is formed by a polychromatic superposition of many independent stochastic oscillators. Assuming fields with individual carrier frequencies, Lorentzian linewidths and amplitudes we can form any relevant experimental spectrum using a least square fit. This is illustrated for Gaussian and Lorentzian spectra, Voigt profiles and box shapes. Eventually, the procedure is applied to an experimental spectrum of a quantum dot superluminescent diode which determines the first- and second-order temporal correlation functions of the emission. We find good agreement with the experimental data and a quantized treatment. Thus, a superposition of independent stochastic oscillators represents the first- and second-order correlation properties of broadband light emitted by quantum dot superluminescent diodes.
 
</p></abstract><kwd-group><kwd>Stochastic Simulation</kwd><kwd> Quantum Dot</kwd><kwd> Superluminescent Diode</kwd></kwd-group></article-meta></front><body><sec id="s1"><title>1. Introduction</title><p>Modern-day optical applications like optical coherence tomography [<xref ref-type="bibr" rid="scirp.106422-ref1">1</xref>] [<xref ref-type="bibr" rid="scirp.106422-ref2">2</xref>] and ghost imaging [<xref ref-type="bibr" rid="scirp.106422-ref3">3</xref>] [<xref ref-type="bibr" rid="scirp.106422-ref4">4</xref>] [<xref ref-type="bibr" rid="scirp.106422-ref5">5</xref>] make use of the unique emission properties of spectrally broadband light-emitting quantum dot superluminescent diodes (QDSLD). By using specialized waveguide geometries and gain materials, QDSLDs are able to combine high output intensities, spatially directed emission and spectral widths in the THz regime. Hence, they fill the gap in the family of semiconductor-based optical emitters between coherent laser diodes and incoherent light emitting diodes. After being proposed in 1973 [<xref ref-type="bibr" rid="scirp.106422-ref6">6</xref>], research on the characteristics of QDSLDs has been intensified in recent years after Boitier et al. [<xref ref-type="bibr" rid="scirp.106422-ref7">7</xref>] enabled the direct measurement of coherence times in the femtosecond regime using two-photon absorption in semiconductors. This research is both theoretical and experimental nature. From the theoretical side, the understanding of light generation processes inside the diode is a main focus. For this, a plethora of approaches is being utilized including rate equation models [<xref ref-type="bibr" rid="scirp.106422-ref8">8</xref>] [<xref ref-type="bibr" rid="scirp.106422-ref9">9</xref>] [<xref ref-type="bibr" rid="scirp.106422-ref10">10</xref>], travelling wave approaches [<xref ref-type="bibr" rid="scirp.106422-ref11">11</xref>], finite element methods [<xref ref-type="bibr" rid="scirp.106422-ref12">12</xref>] and quantized treatments [<xref ref-type="bibr" rid="scirp.106422-ref13">13</xref>] [<xref ref-type="bibr" rid="scirp.106422-ref14">14</xref>]. Experimental studies focus on the determination of first- and second-order temporal correlation properties of QDSLDs [<xref ref-type="bibr" rid="scirp.106422-ref15">15</xref>] [<xref ref-type="bibr" rid="scirp.106422-ref16">16</xref>]. In 2011, Blazek et al. were able to observe a temperature dependent suppression of intensity fluctuations g ( 2 ) ( τ = 0 ) &lt; 2 using a broadband emitting QDSLD [<xref ref-type="bibr" rid="scirp.106422-ref17">17</xref>]. To this day, effort is being put into developing more efficient and high-powered QDSLDs [<xref ref-type="bibr" rid="scirp.106422-ref18">18</xref>] [<xref ref-type="bibr" rid="scirp.106422-ref19">19</xref>] [<xref ref-type="bibr" rid="scirp.106422-ref20">20</xref>].</p><p>Adding a new perspective to the investigation of QDSLDs, we discuss a stochastic model for the emission in this article. Stochastic approaches have long proven to have a wide-ranging field of applications in biology [<xref ref-type="bibr" rid="scirp.106422-ref21">21</xref>] [<xref ref-type="bibr" rid="scirp.106422-ref22">22</xref>] [<xref ref-type="bibr" rid="scirp.106422-ref23">23</xref>], engineering [<xref ref-type="bibr" rid="scirp.106422-ref24">24</xref>], finance [<xref ref-type="bibr" rid="scirp.106422-ref25">25</xref>], quantum many-body physics [<xref ref-type="bibr" rid="scirp.106422-ref26">26</xref>] [<xref ref-type="bibr" rid="scirp.106422-ref27">27</xref>], soft-matter physics [<xref ref-type="bibr" rid="scirp.106422-ref28">28</xref>] [<xref ref-type="bibr" rid="scirp.106422-ref29">29</xref>], optics [<xref ref-type="bibr" rid="scirp.106422-ref30">30</xref>] [<xref ref-type="bibr" rid="scirp.106422-ref31">31</xref>] and many more scientific areas. We develop a model to describe experimental emission spectra from a superposition of stochastic fields. Using least square fits, we determine Lorentzian linewidths, carrier frequencies and amplitudes of the individual fields to model experimental spectra. This is illustrated for Gaussian-, Lorentzian-, Voigt- as well as bandpass spectra and applied to the experimental spectrum of a QDSLD [<xref ref-type="bibr" rid="scirp.106422-ref3">3</xref>]. Using numerical simulations, we determine first- and second-order temporal correlation functions of the electric field and calculate the spectral power density of the resulting emission.</p><p>The article is organized as follows: the stochastic model of emission spectra is developed in Section 2. It consists of individual classical fields, which are described by a distinct stochastic differential equation. After investigating properties of these fields, relevant spectra are modelled as a superposition. This is applied to a specific experimental spectrum produced by a QDSLD [<xref ref-type="bibr" rid="scirp.106422-ref3">3</xref>]. The model is subsequently used to calculate the emission spectrum of the diode in Section 3 and the normalized stationary second-order temporal correlation function in Section 4. A conclusion is given in Section 5. An Appendix summarizes the convergence properties of the simulation schemes.</p></sec><sec id="s2"><title>2. Stochastic Model of Emission Spectra</title><p>The classical electric field of a diode results from a superposition of stochastic fields. Hence, the electric field outside of the diode reads</p><p>ε d ( t ) = ∑ j = 1 N     ε j ( t ) , (1)</p><p>with the number of fields N and ε j ( t ) the j-th complex field amplitude.</p><sec id="s2_1"><title>2.1. Ornstein-Uhlenbeck Process</title><p>An individual classical field ε ( t ) ∈ ℂ is modelled as a complex Ornstein-Uhlenbeck process [<xref ref-type="bibr" rid="scirp.106422-ref32">32</xref>]. This is described by the Ito stochastic differential equation [<xref ref-type="bibr" rid="scirp.106422-ref33">33</xref>]</p><p>d ε ( t ) = ( i ν 0 − γ ) ε ( t ) d t + D d W ( t ) , (2)</p><p>with the carrier frequency ν 0 , the linewidth γ , the diffusion constant D = γ I , the mean intensity of the electric field I = lim t → ∞ 〈 | ε ( t ) | 2 〉 and the complex Wiener noise increment d W ( t ) ∈ ℂ , whose properties are given by 〈 d W ( t ) 〉 = 0 and 〈 | d W ( t ) | 2 〉 = d t .</p><p>The stationary first-order temporal correlation function reads [<xref ref-type="bibr" rid="scirp.106422-ref33">33</xref>] [<xref ref-type="bibr" rid="scirp.106422-ref34">34</xref>]</p><p>G s ( 1 ) ( τ ) = l i m t → ∞ 〈 ε * ( t ) ε ( t + τ ) 〉 = I e − γ | τ | − i ν 0 τ . (3)</p><p>The spectral power density is given by the Fourier transform</p><p>S ( ν ) = 1 2 π ∫ − ∞ ∞     d τ   G s ( 1 ) ( τ ) e i ν τ (4)</p><p>of (3) in accordance to the Wiener-Khintchine theorem [<xref ref-type="bibr" rid="scirp.106422-ref35">35</xref>] [<xref ref-type="bibr" rid="scirp.106422-ref36">36</xref>]. This yields</p><p>S ( ν ) = I 2 π γ ( ν − ν 0 ) 2 + γ 2 ,       1 2 π ∫ − ∞ ∞     d ν   S ( ν ) = I . (5)</p><p>Furthermore, the stationary normalized second-order temporal correlation function is given by the Siegert relation [<xref ref-type="bibr" rid="scirp.106422-ref34">34</xref>] [<xref ref-type="bibr" rid="scirp.106422-ref37">37</xref>]</p><p>g s ( 2 ) ( τ ) = l i m t → ∞ 〈 ε * ( t ) ε * ( t + τ ) ε ( t + τ ) ε ( t ) 〉 〈 ε * ( t ) ε ( t ) 〉 〈 ε * ( t + τ ) ε ( t + τ ) 〉 = 1 + e − 2 γ | τ | . (6)</p></sec><sec id="s2_2"><title>2.2. Stochastic Simulation</title><p>In addition to analytical results, we perform numerical simulations of (2). In order to obtain an efficient simulation procedure, we separate the rapid oscillating carrier frequency by the transformation ε ( t ) = η ( t ) e − i ν 0 t yielding</p><p>d η ( t ) = − γ η ( t ) d t + D d W ( t ) . (7)</p><p>As the diffusion constant D is independent of the electric field amplitude η ( t ) , the Euler scheme [<xref ref-type="bibr" rid="scirp.106422-ref38">38</xref>] can be used to achieve strong convergence of order 1.0 (see Appendix). Therefore the electric field amplitude can be simulated iteratively</p><p>η ( t i + 1 ) = η ( t i ) − γ η ( t i ) Δ t + D Δ W , (8)</p><p>with the discrete time step Δ t = t i + 1 − t i and Δ W a complex Gaussian random process with mean 〈 Δ W 〉 = 0 and variance 〈 | Δ W | 2 〉 = Δ t .</p><p>The first-order temporal correlation function of (3) is calculated from a sample average over M realizations</p><p>G ( 1 ) ( τ ) = 1 M ∑ m = 1 M ( ε ( m ) ( t s ) ) * ε ( m ) ( t s + τ ) (9)</p><p>long after the transient regime t s ≫ 1 / γ j . ε ( m ) ( t ) is the m-th realization of the electric field. This result can be used to calculate the spectral power density of the emission using a Fourier transformation.</p><p>The determination of the normalized second-order temporal correlation function (6) can be split into two separate calculations. The first-order temporal correlation functions in the denominator can be simulated according to (9), while the second-order correlation function in the numerator can be calculated as</p><p>G ( 2 ) ( τ ) = 1 M ∑ m = 1 M | ε ( m ) ( t s + τ ) ε ( m ) ( t s ) | 2 . (10)</p><p>Simulation results as well as analytical calculations of the first- and second-order temporal correlation properties of an individual field can be seen in <xref ref-type="fig" rid="fig1">Figure 1</xref>.</p><p>The simulations show good agreement with the analytical results for the given parameters ( γ = 0.5   THz , I = 1 , ν 0 = 10   THz , Δ t = 0.01   ps , M = 10 4 ).</p></sec><sec id="s2_3"><title>2.3. Modelling of Emission Shapes</title><p>The emission of a diode (1) is described as the superposition of N independent classical fields with individual linewidths γ j , mean intensities I j and central frequencies ν j . The stationary first-order temporal correlation function reads</p><p>G d ( 1 ) ( τ ) = l i m t → ∞ 〈 ε d * ( t ) ε d ( t + τ ) 〉 = l i m t → ∞ ∑ j = 1 N 〈 ε j * ( t ) ε j ( t + τ ) 〉 . (11)</p><p>Thus, the spectral power density is the incoherent sum of the individual spectra</p><p>S d ( ν ) = ∑ j = 1 N     S j ( ν ) . (12)</p><p>This model can be used to approximate a wide range of shapes through the adjustment of the 3 N free parameters γ j , I j and ν j in (12) by means of a least square fit, minimizing the error functional</p><p>e = ∑ i ( S t ( ν i ) − S d ( ν i ) ) 2 (13)</p><p>for a test spectrum S t ( ν ) at discrete frequencies ν i . Examples of interest are given by Gaussian spectra [<xref ref-type="bibr" rid="scirp.106422-ref39">39</xref>]</p><p>S g ( ν ) = 1 σ 2 e − ( ν − ν 0 ) 2 2 σ 2 , (14)</p><p>Lorentzian spectra [<xref ref-type="bibr" rid="scirp.106422-ref39">39</xref>]</p><p>S l ( ν ) = 2 π γ ( ν − ν 0 ) 2 + γ 2 , (15)</p><p>Voigt profiles [<xref ref-type="bibr" rid="scirp.106422-ref39">39</xref>]</p><p>S v ( ν ) = 1 σ 2 Re { e − z 2 erfc ( − i z ) } ,       z = ν + i γ σ 2 , (16)</p><p>with the complementary error function erfc ( z ) , and bandwidth limited box shapes</p><p>S b ( ν ) = { 2 π / γ , for   | ν | ≤ γ / 2 , 0,           else . (17)</p><p>This is illustrated in <xref ref-type="fig" rid="fig2">Figure 2</xref>. Please note that all spectra are normalized to</p><p>1 2 π ∫ − ∞ ∞     d ν   S ( ν ) = 1. (18)</p></sec><sec id="s2_4"><title>2.4. Model of Quantum Dot Superluminescent Diode Emission</title><p>Superluminescent diodes are semiconductor-based light sources, which are characterized by spatially directed emission and spectral widths in the THz regime. The experiments with QDSLDs [<xref ref-type="bibr" rid="scirp.106422-ref3">3</xref>] had an active medium consisting of inhomogeneously broadened InAs/InGaAs quantum dot layers. The optical power spectrum has a Gaussian shape (see <xref ref-type="fig" rid="fig3">Figure 3</xref>).</p><p>Therefore the developed formalism is used to describe the emission of the diode, which is modelled by N = 30 individual oscillators. Using a least square fit (see (13)) to an experimental spectrum S e ( ν ) [<xref ref-type="bibr" rid="scirp.106422-ref3">3</xref>] the linewidths γ j , mean intensities I j and central frequencies ν j describing the emission are determined. This is illustrated in <xref ref-type="fig" rid="fig3">Figure 3</xref>.</p></sec></sec><sec id="s3"><title>3. QDSLD Emission Spectrum</title><p>The optical power spectrum emitted by the QDSLD is simulated numerically. For this, the central frequencies ν j , linewidths γ j and mean intensities I j describing the QDSLD emission determined in Sec. 2.4 are used to calculate the individual electric fields ε j ( t ) according to (8). The electric field emitted by the diode ε d ( t ) results as a superposition of the individual field ε j ( t ) according to (1). Subsequently, the stationary first-order temporal correlation function G d ( 1 ) ( τ ) is calculated according to (9) using M = 10 4 realizations of the diode field ε d ( t ) . The spectral power density of the emission S d ( ν ) is determined using a Fourier transformation.</p><p>The result of the simulation (see <xref ref-type="fig" rid="fig4">Figure 4</xref>) shows good agreement with the experimental optical power spectrum [<xref ref-type="bibr" rid="scirp.106422-ref3">3</xref>]. We define the width of the spectral power density [<xref ref-type="bibr" rid="scirp.106422-ref41">41</xref>] [<xref ref-type="bibr" rid="scirp.106422-ref42">42</xref>]</p><p>b = 1 ∫ − ∞ ∞     d ν   S 2 ( ν ) . (19)</p><p>This yields b d = 4.51     THz , implying a coherence time of τ c,d = 1 / b d = 221.9     fs , which matches the experimental results of b e = 4.29   THz and τ c,e = 233   fs very well.</p><p>The method of modelling emission spectra as a superposition of individual oscillators is therefore suitable to describe the first-order temporal correlation properties of QDSLDs.</p><p>By extracting appropriate simulation parameters from an experimental spectrum, the electric field emitted by the diode can be simulated numerically and can be used to calculate the stationary first-order temporal correlation function and optical power spectrum of the emission.</p></sec><sec id="s4"><title>4. Second-Order Temporal Correlation Function</title><p>In addition to the investigation of the optical power spectrum, the developed formalism can be used to investigate the classical photon statistics of the QDSLD emission. For this, the electric field ε d ( t ) emitted by the diode already calculated in Sec. 3 can be reused. Instead of calculating first-order temporal correlation properties of the field, M realizations of ε d ( t ) are used to calculate the stationary normalized second-order temporal correlation function g d ( 2 ) ( τ ) of the emission according to (6, 9, 10).</p><p>The result for the central frequencies ν j , linewidths γ j and mean intensities I j determined in Section 2.4 is illustrated in <xref ref-type="fig" rid="fig5">Figure 5</xref>. There is good agreement between the simulation and the experimental data g e ( 2 ) ( τ ) . The central degree of second-order temporal coherence g d ( 2 ) ( τ = 0 ) ≃ 2 indicates a Gaussian photon distribution, which was also shown experimentally. Therefore, the developed formalism is suited for classical photon statistical investigations of QDSLDs.</p></sec><sec id="s5"><title>5. Conclusions</title><p>In this article, we study a stochastic model to describe experimental emission spectra. These are considered to result as a superposition of individual complex Ornstein-Uhlenbeck processes. The first- and second-order temporal correlation properties of these oscillators are investigated analytically and numerically. We can approximate Gaussian-, Lorentzian-, Voigt- and bandwidth limited spectra by determination of Lorentzian linewidths, carrier frequencies and amplitudes of the individual oscillators using least square fits.</p><p>The developed procedure is applied to the emission properties of quantum dot superluminescent diodes. Simulation parameters are extracted from a least square fit to an experimental spectrum [<xref ref-type="bibr" rid="scirp.106422-ref3">3</xref>]. These are used to simulate the QDSLD emission and calculate first- and second-order temporal correlation properties. The determined spectral power density of the emission, resulting from a Fourier transformation of the stationary first-order temporal correlation function, shows good agreement with the experimental results regarding the shape of the spectral line, as well as spectral width and coherence time. Additionally, calculating the stationary normalized second-order temporal correlation function results in a central degree of second-order temporal coherence g ( 2 ) ( τ = 0 ) ≃ 2 . This indicates a Gaussian photon distribution, which is in agreement with experiments and former theoretical investigations.</p><p>The stochastic description of QDSLD emission offers a straightforward perspective on the process of light generation inside QDSLDs, describing it as a superposition of individual classical oscillators. More data on the emission characteristics of the constituents of QDSLDs can lead to a better understanding and contribute to the design of new diodes. Furthermore, this approach can be utilized in the investigation of other properties of QDSLDs. As it explains the statistical properties of the electric field emitted by the diode, it can be used in a classical explanation of temperature dependent intensity fluctuation suppression observed by Blazek et al.</p></sec><sec id="s6"><title>Acknowledgements</title><p>We thank S&#233;bastien Blumenstein for the provision of experimental data and Prof. Wolfgang Els&#228;&#223;er for stimulating discussions.</p></sec><sec id="s7"><title>Conflicts of Interest</title><p>The authors declare no conflicts of interest regarding the publication of this paper.</p></sec><sec id="s8"><title>Cite this paper</title><p>Hansmann, K.N. and Walser, R. (2021) Stochastic Simulation of Emission Spectra and Classical Photon Statistics of Quantum Dot Superluminescent Diodes. Journal of Modern Physics, 12, 22-34. https://doi.org/10.4236/jmp.2021.121003</p></sec><sec id="s9"><title>Appendix. Convergence of Stochastic Simulations</title><p>Consider the Ito stochastic differential equation [<xref ref-type="bibr" rid="scirp.106422-ref33">33</xref>]</p><p>d x ( t ) = a ( x ( t ) ) d t + b ( x ( t ) ) d W ( t ) , (20)</p><p>with the drift term a ( x ) and the diffusion term b ( x ) . Identifying x ( t 0 ) = x 0 , the formal solution of this equation is given by integration:</p><p>x ( t ) = x 0 + ∫ t 0 t     d t ′   a ( x ( t ′ ) ) + ∫ t 0 t     d W ( t ′ ) b ( x ( t ′ ) ) (21)</p><p>The goal of time discrete maps x ( t i + 1 ) = F ( x i ) of stochastic differential equations is the approximation of a solution x ( t ) up to a order of convergence γ . Such a scheme is said to converge strongly with order γ &gt; 0 , if for the final time instant T and N = T / Δ there is a finite ε and Δ 0 &gt; 0 such that [<xref ref-type="bibr" rid="scirp.106422-ref38">38</xref>]</p><p>〈 | x ( T ) − x ( t N ) | 〉 ≤ ε Δ γ (22)</p><p>for any time discretization 0 &lt; Δ &lt; Δ 0 . A strong Taylor scheme of order γ can be constructed by considering the Ito-Taylor expansion, which is obtained by continuously applying the integral form of Ito’s formula [<xref ref-type="bibr" rid="scirp.106422-ref33">33</xref>]</p><p>f ( x ( t ) ) = f ( x 0 ) + ∫ t 0 t     d t ′   L 0 f ( x ( t ′ ) ) + ∫ t 0 t     d W ( t ′ )   L 1 f ( x ( t ′ ) ) , (23)</p><p>with L 0 = a ( x ( t ′ ) ) ∂ x + ( 1 / 2 ) b 2 ( x ( t ′ ) ) ∂ x 2 and L 1 = b ( x ( t ′ ) ) ∂ x , to nonconstant terms inside the integrals of the formal solution (21). A criterium [<xref ref-type="bibr" rid="scirp.106422-ref38">38</xref>] for the terms of the Ito-Taylor expansion required for the associated strong Taylor scheme to achieve a desired order of strong convergence γ states, that a simulation scheme strongly converges to the order of an integer γ if it includes all combinations of integrals up to this order, with time differentials d t being of order 1 and Wiener noise increments d W ( t ) being of order 1/2. Simulation schemes of half-integer order γ additionally require the inclusion of the pure time integral of order γ + 1 / 2 .</p><p>A strong convergence scheme of order 1/2 is the Euler scheme</p><p>x ( t ) = x 0 + a ( x 0 ) ∫ t 0 t     d t ′ + b ( x 0 ) ∫ t 0 t     d W ( t ′ ) + R . (24)</p><p>Discretizing the time steps, discrete map can be developed which yields</p><p>x ( t i + 1 ) = x ( t i ) + a ( x ( t i ) ) Δ t + b ( x ( t i ) ) Δ W , (25)</p><p>where Δ W is a Gaussian random process with 〈 Δ W 〉 = 0 and 〈 Δ W 2 〉 = Δ t . To expand the Euler scheme to order 1.0 of strong convergence, the double stochastic integral appearing in the remainder R in (24) has to be included, yielding</p><p>x ( t ) = x 0 + a ( x 0 ) ∫ t 0 t     d t ′ + b ( x 0 ) ∫ t 0 t     d W ( t ′ ) + L 1 b ( x 0 ) ∫ t 0 t ∫ t 0 t ′     d W ( t ′ ) d W ( t ″ ) + R . (26)</p><p>This is called the Milstein scheme [<xref ref-type="bibr" rid="scirp.106422-ref43">43</xref>]. The double stochastic integral can be calculated [<xref ref-type="bibr" rid="scirp.106422-ref33">33</xref>]</p><p>∫ t 0 t ∫ t 0 t ′     d W ( t ′ ) d W ( t ″ ) = 1 2 [ ( W ( t ) − W ( t 0 ) ) 2 − ( t − t 0 ) ] , (27)</p><p>which leads to the iteration rule for the Milstein method</p><p>x ( t i + 1 ) = x ( t i ) + [ a ( x ( t i ) ) − 1 2 b ( x ( t i ) ) ∂ x b ( x ( t i ) ) ] Δ t     + b ( x ( t i ) ) Δ W + 1 2 b ( x ( t i ) ) ∂ x b ( x ( t i ) ) Δ W 2 . (28)</p><p>With increasing order of convergence γ , the simulation schemes become more complex and include an increasing number of stochastic increments.</p></sec></body><back><ref-list><title>References</title><ref id="scirp.106422-ref1"><label>1</label><mixed-citation publication-type="other" xlink:type="simple">Milstein, G.N. 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