A class of orthogonal integrators for stochastic differential equations (Q557773)

The authors consider the following family of Stratonovich stochastic differential equations \[ dX_t= G_0(t, X_t) X_t dt+ \sum^m_{j=1} G_j(t, X_t) X_t\circ dw^j_t,\;X_{t_0}= X_0\in \mathbb{R}^{d\times d}, \] where \(G_j\), \(j= 0,\dots, m\), are skew-symmetric \(d\times d\) matrix functions, \(X_0\) is an orthogonal \(d\times d\) matrix. It is proved that solutions \(X_t\) of such systems are orthogonal matrices. In the paper, a class of orthogonal integrators is constructed for these systems.