The Magnus expansion for stochastic differential equations

DOI10.1007/S00332-019-09578-9zbMath1496.60066OpenAlexW2971616761WikidataQ127290691 ScholiaQ127290691MaRDI QIDQ2303772

Zhen Yao, Qiang Ma, Zhen-Yu Wang, Xiao-Hua Ding

Publication date: 5 March 2020

Published in: Journal of Nonlinear Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00332-019-09578-9

zbMATH Keywords

stochastic differential equationsLie groupMagnus expansionrooted treesintrinsic property

Mathematics Subject Classification ID

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

Related Items (6)

Stochastic Runge-Kutta–Munthe-Kaas Methods in the Modelling of Perturbed Rigid Bodies ⋮ A class of new Magnus-type methods for semi-linear non-commutative Itô stochastic differential equations ⋮ On the stochastic Magnus expansion and its application to SPDEs ⋮ Strong stochastic Runge-Kutta-Munthe-Kaas methods for nonlinear Itô SDEs on manifolds ⋮ Formulae for Mixed Moments of Wiener Processes and a Stochastic Area Integral ⋮ Higher strong order methods for linear Itô SDEs on matrix Lie groups

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