Resolvents of the Ito differential equations multiplicative with respect to the state vector

DOI10.1134/s0005117923080088zbMath1530.93549MaRDI QIDQ6185392

M. E. Shaikin

Publication date: 8 January 2024

Published in: Automation and Remote Control (Search for Journal in Brave)

zbMATH Keywords

fundamental matrixmatrix Lie algebramultiplicative stochastic systemgroup-theoretic methodWei-Norman theoremFisk-Stratonovich differentialstochastic resolvent

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

• Convergence rate of weak local linearization schemes for stochastic differential equations with additive noise
• A stochastic exponential Euler scheme for simulation of stiff biochemical reaction systems
• Multiplicative stochastic systems with multiple external disturbances
• Stochastic equations with an unbounded operator coefficient and multiplicative noise
• Exponential integrators
• Stochastic exponential integrators for the finite element discretization of SPDEs for multiplicative and additive noise
• Weak exponential schemes for stochastic differential equations with additive noise
• On Global Representations of the Solutions of Linear Differential Equations as a Product of Exponentials
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