On the stochastic Magnus expansion and its application to SPDEs

DOI10.1007/S10915-021-01633-6zbMath1489.60112arXiv2001.01098OpenAlexW3205738160MaRDI QIDQ2666021

Andrea Pascucci, Kevin Kamm, Stefano Pagliarani

Publication date: 22 November 2021

Published in: Journal of Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2001.01098

zbMATH Keywords

Magnus expansionstochastic linear systemsmatrix-valued SDEnumerical solution of SPDE

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (5)

Numerical solution of kinetic SPDEs via stochastic Magnus expansion ⋮ Formulae for Mixed Moments of Wiener Processes and a Stochastic Area Integral ⋮ On the impact of feeding cost risk in aquaculture valuation and decision making ⋮ Higher strong order methods for linear Itô SDEs on matrix Lie groups ⋮ Unified signature cumulants and generalized Magnus expansions

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