The Magnus expansion for stochastic differential equations

DOI10.1007/S00332-019-09578-9MaRDI QIDQ2303772zbMATH OpenOpenAlexWikidataFDO

Authors Qiang Ma, Zhen Yao, Zhenyu Wang, Xiaohua Ding

Publication date 5 March 2020

Published in Journal of Nonlinear Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00332-019-09578-9

zbMATH Keywords

intrinsic propertyLie groupMagnus expansionrooted treesstochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

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• Cheap arbitrary high order methods for single integrand SDEs
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• Explicit Magnus expansions for nonlinear equations
• High strong order methods for non-commutative stochastic ordinary differential equation systems and the Magnus formula
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• Symplectic methods for the Ablowitz–Ladik discrete nonlinear Schrödinger equation

Cited in

(14)

• Higher strong order methods for linear Itô SDEs on matrix Lie groups
• A class of new Magnus-type methods for semi-linear non-commutative Itô stochastic differential equations
• On the stochastic Magnus expansion and its application to SPDEs
• A pedagogical approach to the Magnus expansion
• Efficient strong integrators for linear stochastic systems
• Stochastic Runge-Kutta-Munthe-Kaas methods in the modelling of perturbed rigid bodies
• Magnus series expansion method for solving nonhomogeneous stiff systems of ordinary differential equations
• Explicit Magnus expansions for nonlinear equations
• Strong stochastic Runge-Kutta-Munthe-Kaas methods for nonlinear Itô SDEs on manifolds
• Numerical solution of kinetic SPDEs via stochastic Magnus expansion
• Formulae for Mixed Moments of Wiener Processes and a Stochastic Area Integral
• Magnus exponential integrators for stiff time-varying stochastic systems
• The stability of the multivariate geometric Brownian motion as a bilinear matrix inequality problem
• Geometry preserving Ito-Taylor formulation for stochastic Hamiltonian dynamics on manifolds

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