The Magnus expansion for stochastic differential equations
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Publication:2303772
DOI10.1007/s00332-019-09578-9zbMath1496.60066OpenAlexW2971616761WikidataQ127290691 ScholiaQ127290691MaRDI QIDQ2303772
Zhen Yao, Qiang Ma, Zhen-Yu Wang, Xiao-Hua 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
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)
Related Items (6)
Stochastic Runge-Kutta–Munthe-Kaas Methods in the Modelling of Perturbed Rigid Bodies ⋮ 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 ⋮ Strong stochastic Runge-Kutta-Munthe-Kaas methods for nonlinear Itô SDEs on manifolds ⋮ Formulae for Mixed Moments of Wiener Processes and a Stochastic Area Integral ⋮ Higher strong order methods for linear Itô SDEs on matrix Lie groups
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