High strong order methods for non-commutative stochastic ordinary differential equation systems and the Magnus formula

DOI10.1016/S0167-2789(99)00097-4zbMath1194.65023OpenAlexW1994384777WikidataQ115339595 ScholiaQ115339595MaRDI QIDQ992139

Kevin Burrage, Pamela M. Burrage

Publication date: 11 September 2010

Published in: Physica D (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-2789(99)00097-4

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites Work

• High strong order methods for non-commutative stochastic ordinary differential equation systems and the Magnus formula
• General order conditions for stochastic Runge-Kutta methods for both commuting and non-commuting stochastic ordinary differential equation systems
• Numerical integration of ordinary differential equations on manifolds
• Continuous Markov processes and stochastic equations
• Numerical Treatment of Stochastic Differential Equations
• Nineteen Dubious Ways to Compute the Exponential of a Matrix
• On the exponential solution of differential equations for a linear operator
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