Multidimensional master equation and its Monte-Carlo simulation.

We derive an integral form of multidimensional master equation for a Markovian process, in which the transition function is obtained in terms of a set of discrete Langevin equations. The solution of master equation, namely, the probability density function is calculated by using the Monte-Carlo composite sampling method. In comparison with the usual Langevin-trajectory simulation, the present approach decreases effectively coarse-grained error. We apply the master equation to investigate time-dependent barrier escape rate of a particle from a two-dimensional metastable potential and show the advantage of this approach in the calculations of quantities that depend on the probability density function. [ABSTRACT FROM AUTHOR]