Simulation of stationary Gaussian noise with regard to the Langevin   equation with memory effect
  We present an efficient method for simulating a stationary Gaussian noise with an arbitrary covariance function and then study numerically the impact of time-correlated noise on the time evolution of a 1 + 1 dimensional generalized Langevin equation by comparing also to analytical results. Finally, we apply our method to the generalized Langevin equation with an external harmonic and double-well potential. 
Julian Schmidt, Alex Meistrenko, Hendrik van Hees and Carsten Greiner
cond-mat.stat-mech nucl-th