Numerical Methods for Stochastic Differential Equations in Matrix Lie Groups Made Simple

DOI10.1109/TAC.2018.2798703MaRDI QIDQ4562785zbMATH OpenOpenAlexWikidataFDO

Authors Goran Marjanovic, V. Solo

Publication date 18 December 2018

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tac.2018.2798703

Mathematics Subject Classification ID

Probability measures on groups or semigroups, Fourier transforms, factorization (60B15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited in

(6)

• Higher strong order methods for linear Itô SDEs on matrix Lie groups
• On the stochastic Magnus expansion and its application to SPDEs
• Stochastic Runge-Kutta-Munthe-Kaas methods in the modelling of perturbed rigid bodies
• Strong stochastic Runge-Kutta-Munthe-Kaas methods for nonlinear Itô SDEs on manifolds
• Hasimoto frames and the Gibbs measure of the periodic nonlinear Schrödinger equation
• Geometry preserving Ito-Taylor formulation for stochastic Hamiltonian dynamics on manifolds

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