A Lie Algebraic Approach to Numerical Integration of Stochastic Differential Equations (Q2780557)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Lie Algebraic Approach to Numerical Integration of Stochastic Differential Equations |
scientific article |
Statements
A Lie Algebraic Approach to Numerical Integration of Stochastic Differential Equations (English)
0 references
15 April 2002
0 references
stochastic differential equations
0 references
Lie algebra
0 references
composition methods
0 references
operator splitting method
0 references
mathematical finance
0 references
stochastic Hamiltonian dynamical systems
0 references
stochastic nonlinear system
0 references
