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Efficient and accurate integration of stochastic (partial) differential equations with multiplicative noise can be obtained through a split-step scheme, which separates the integration of the deterministic part from that of the stochastic part, the latter being performed by sampling exactly the solution of the associated Fokker-Planck equation. We demonstrate the computational power of this method by applying it to the most absorbing phase transitions for which Langevin equations have been proposed. This provides precise estimates of the associated scaling exponents, clarifying the classification of these nonequilibrium problems, and confirms or refutes some existing theories.
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Dornic et al. (2005) studied this question.
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