The Magnus expansion for stochastic differential equations (Q2303772): Difference between revisions

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+High strong order methods for non-commutative stochastic ordinary differential equation systems and the Magnus formula
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@@ Property / cites work @@
+Structure-preserving Runge-Kutta methods for stochastic Hamiltonian equations with additive noise
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+Explicit Magnus expansions for nonlinear equations
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+Preserving first integrals with symmetric Lie group methods
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+An introduction to Lie group integrators - basics, new developments and applications
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+Numerical integration of ordinary differential equations on manifolds
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+B–Series Analysis of Stochastic Runge–Kutta Methods That Use an Iterative Scheme to Compute Their Internal Stage Values
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+Cheap arbitrary high order methods for single integrand SDEs
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+Q4531870
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+Applications of Magnus expansions and pseudospectra to Markov processes
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+On the solution of linear differential equations in Lie groups
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+Q4550964
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+Q4004325
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+Discrete gradient methods and linear projection methods for preserving a conserved quantity of stochastic differential equations
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+On the exponential solution of differential equations for a linear operator
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+Stochastic Lie Group Integrators
@@ Property / cites work: Stochastic Lie Group Integrators / rank @@
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+Runge-Kutta methods on Lie groups
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+Q4273954
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+Order conditions for commutator-free Lie group methods
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+A new class of energy-preserving numerical integration methods
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+Symplectic methods for the Ablowitz–Ladik discrete nonlinear Schrödinger equation
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@@ Property / DOI: 10.1007/S00332-019-09578-9 / rank @@
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