Computing high dimensional multiple integrals involving matrix exponentials
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Publication:2095151
DOI10.1016/J.CAM.2022.114844zbMATH Open1506.65066OpenAlexW4296903459MaRDI QIDQ2095151FDOQ2095151
Publication date: 9 November 2022
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2022.114844
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Cites Work
- Expokit
- Algorithm 919
- Nineteen Dubious Ways to Compute the Exponential of a Matrix
- Title not available (Why is that?)
- Computing integrals involving the matrix exponential
- Stochastic models, estimation, and control. Vol. 2,3
- Computing multiple integrals involving matrix exponentials
- Linear estimation of continuous-discrete linear state space models with multiplicative noise
- Simplified formulas for the mean and variance of linear stochastic differential equations
- On Krylov Subspace Approximations to the Matrix Exponential Operator
- Efficient integration of large stiff systems of ODEs with exponential propagation iterative (EPI) methods
- Analysis of Some Krylov Subspace Approximations to the Matrix Exponential Operator
- Convergence rate of strong local linearization schemes for stochastic differential equations with additive noise
- A higher order local linearization method for solving ordinary differential equations
- Exponential multistep methods of Adams-type
- Optimal Estimation of Dynamic Systems
- A weak local linearization scheme for stochastic differential equations with multiplicative noise
- Local Linearization Method for Numerical Integration of Delay Differential Equations
- Approximate linear minimum variance filters for continuous-discrete state space models: convergence and practical adaptive algorithms
- Locally linearized Runge-Kutta method of Dormand and Prince for large systems of initial value problems
- Bias reduction in the estimation of diffusion processes from discrete observations
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