On the stochastic Magnus expansion and its application to SPDEs (Q2666021): Difference between revisions

@@ Property / DOI @@
-.1007/s10915-021-01633-6
@@ Property / DOI: 10.1007/s10915-021-01633-6 / rank @@
-Normal rank
@@ Property / cites work @@
+Q3943776
@@ Property / cites work: Q3943776 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic flows and Taylor series
@@ Property / cites work: Stochastic flows and Taylor series / rank @@
+Normal rank
@@ Property / cites work @@
+Functional analysis, Sobolev spaces and partial differential equations
+Normal rank
@@ Property / cites work @@
+High strong order methods for non-commutative stochastic ordinary differential equation systems and the Magnus formula
+Normal rank
@@ Property / cites work @@
+Asymptotic expansion of stochastic flows
@@ Property / cites work: Asymptotic expansion of stochastic flows / rank @@
+Normal rank
@@ Property / cites work @@
+An efficient approximation method for stochastic differential equations by means of the exponential Lie series
+Normal rank
@@ Property / cites work @@
+The ordinary differential equation approach to asymptotically efficient schemes for solution of stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Q2873807
@@ Property / cites work: Q2873807 / rank @@
+Normal rank
@@ Property / cites work @@
+Itô vs Stratonovich in the presence of absorbing states
+Normal rank
@@ Property / cites work @@
+Q4131410
@@ Property / cites work: Q4131410 / rank @@
+Normal rank
@@ Property / cites work @@
+A new class of exponential integrators for SDEs with multiplicative noise
+Normal rank
@@ Property / cites work @@
+Q3959217
@@ Property / cites work: Q3959217 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4004325
@@ Property / cites work: Q4004325 / rank @@
+Normal rank
@@ Property / cites work @@
+ON THE CAUCHY PROBLEM FOR LINEAR STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS
+Normal rank
@@ Property / cites work @@
+Q3880023
@@ Property / cites work: Q3880023 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Flows and Jump-Diffusions
@@ Property / cites work: Stochastic Flows and Jump-Diffusions / rank @@
+Normal rank
@@ Property / cites work @@
+Introduction to stochastic integration.
@@ Property / cites work: Introduction to stochastic integration. / rank @@
+Normal rank
@@ Property / cites work @@
+Efficient Strong Integrators for Linear Stochastic Systems
+Normal rank
@@ Property / cites work @@
+On the exponential solution of differential equations for a linear operator
+Normal rank
@@ Property / cites work @@
+Numerical Methods for Stochastic Differential Equations in Matrix Lie Groups Made Simple
+Normal rank
@@ Property / cites work @@
+On the Cauchy problem for parabolic SPDEs in Hölder classes.
+Normal rank
@@ Property / cites work @@
+Convergence of the Magnus series
@@ Property / cites work: Convergence of the Magnus series / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotically Efficient Runge-Kutta Methods for a Class of Itô and Stratonovich Equations
+Normal rank
@@ Property / cites work @@
+PDE and martingale methods in option pricing.
@@ Property / cites work: PDE and martingale methods in option pricing. / rank @@
+Normal rank
@@ Property / cites work @@
+The parametrix method for parabolic SPDEs
@@ Property / cites work: The parametrix method for parabolic SPDEs / rank @@
+Normal rank
@@ Property / cites work @@
+Q3796494
@@ Property / cites work: Q3796494 / rank @@
+Normal rank
@@ Property / cites work @@
+The Magnus expansion for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Stochastic differential equations and Nilpotent Lie algebras
+Normal rank
@@ Property / cites work @@
+A class of new Magnus-type methods for semi-linear non-commutative Itô stochastic differential equations
+Normal rank
@@ Property / DOI @@
+.1007/S10915-021-01633-6
@@ Property / DOI: 10.1007/S10915-021-01633-6 / rank @@
+Normal rank