Higher strong order methods for linear Itô SDEs on matrix Lie groups
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Publication:2100530
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Numerical methods for Hamiltonian systems including symplectic integrators (65P10)
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Cites work
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- Explicit order 1.5 schemes for the strong approximation of Itô stochastic differential equations
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- Geometric Numerical Integration
- High order Runge-Kutta methods on manifolds
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Cited in
(5)- Geometric Euler-Maruyama schemes for stochastic differential equations in \(\mathrm{SO}(n)\) and \(\mathrm{SE}(n)\)
- Numerical Methods for Stochastic Differential Equations in Matrix Lie Groups Made Simple
- Strong stochastic Runge-Kutta-Munthe-Kaas methods for nonlinear Itô SDEs on manifolds
- Higher Strong Order Methods for It\^o SDEs on Matrix Lie Groups
- The stability of the multivariate geometric Brownian motion as a bilinear matrix inequality problem
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