Numerical solutions of stochastic differential equations

A commonly used model for dispersion of a passive scalar in the atmospheric boundary layer is the Langevin Equation, which is a stochastic differential equation. In atmospheric sciences it is integrated by the stochastic Euler scheme, which has a very low order of convergence and thus is very time-consuming. In this project a higher-order scheme for numerical integration of the non-linear height-inhomogeneous Langevin Equation is developed.