An efficient approximation method for stochastic differential equations by means of the exponential Lie series

DOI10.1016/0378-4754(93)E0062-AzbMATH Open0824.60054MaRDI QIDQ1897652FDOQ1897652

Jessica Gaines, Fabienne Castell

Publication date: 4 September 1995

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

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zbMATH Keywords

stochastic differential equationsnumerical approximationsefficient estimators

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

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• Stratonovich and Ito Stochastic Taylor Expansions
• Stochastic flows and Taylor series
• Asymptotic expansion of stochastic flows
• Random Generation of Stochastic Area Integrals
• Resolution trajectorielle et analyse numerique des equations differentielles stochastiques
• Title not available (Why is that?)
• Asymptotically Efficient Runge-Kutta Methods for a Class of Itô and Stratonovich Equations
• An asymptotically efficient difference formula for solving stochastic differential equations
• Title not available (Why is that?)

Cited In (9)

• Modified equations for stochastic differential equations
• On the stochastic Magnus expansion and its application to SPDEs
• Splitting methods for non-autonomous Hamiltonian equations
• Flows and stochastic Taylor series in Itô calculus
• Simulating elliptic diffusions and orthogonal invariance
• On a Chen-Fliess approximation for diffusion functionals
• Cubature Methods and Applications
• Splitting integrators for the stochastic Landau-Lifshitz equation
• Algebraic structures and stochastic differential equations driven by Lévy processes

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