Computing multiple integrals involving matrix exponentials
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Publication:2469632
DOI10.1016/J.CAM.2007.01.007zbMATH Open1133.65012OpenAlexW2076234777MaRDI QIDQ2469632FDOQ2469632
Authors: Felix Carbonell, Juan Carlos Jimenez, L. M. Pedroso 
Publication date: 6 February 2008
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.2007.01.007
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Cites Work
- Expokit
- Stochastic processes and filtering theory
- Computing integrals involving the matrix exponential
- Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later
- Title not available (Why is that?)
- Exponential time differencing for stiff systems
- Stochastic models, estimation, and control. Vol. 2,3
- Ordinary and delay differential equations
- Linear estimation of continuous-discrete linear state space models with multiplicative noise
- Weak local linear discretizations for stochastic differential equations: convergence and numerical schemes
- Computing the noise covariance matrix of the local linearization scheme for the numerical solution of stochastic differential equations
- Local linearization filters for non-linear continuous-discrete state space models with multiplicative noise
- A higher order local linearization method for solving ordinary differential equations
- A simple algebraic expression to evaluate the local linearization schemes for stochastic differential equations
- Padé approximation for the exponential of a block triangular matrix
- Quadrature Methods for Stiff Ordinary Differential Systems
- Local Linearization Method for Numerical Integration of Delay Differential Equations
- Some A-Stable Methods for Stiff Ordinary Differential Equations
Cited In (23)
- An expectation maximization algorithm to model failure times by continuous-time Markov chains
- Valuation of mortgage pass-through securities with partial prepayment risk
- Green's function of the problem of bounded solutions in the case of a block triangular coefficient
- An \textit{EM} algorithm for the model fitting of Markovian binary trees
- \(\mathrm{MAP}/\mathrm{M}/c\) and \(\mathrm{M}/\mathrm{PH}/c\) queues with constant impatience times
- Multivariate self-exciting jump processes with applications to financial data
- A practical method for computing the exponential of a matrix and its integral
- Simplified formulas for the mean and variance of linear stochastic differential equations
- Efficient computation of phi-functions in exponential integrators
- The roles of coupling and the deviation matrix in determining the value of capacity in \(\mathrm{M}/\mathrm{M}/1/C\) queues
- Exponential integration for efficient and accurate multibody simulation with stiff viscoelastic contacts
- A higher order local linearization method for solving ordinary differential equations
- Matrix Analysis and Omega Calculus
- Algorithms for perturbative analysis and simulation of quantum dynamics
- Calculating a function of a matrix with a real spectrum
- Convergence rate of weak local linearization schemes for stochastic differential equations with additive noise
- How old is this bird? The age distribution under some phase sampling schemes
- Computation of exponential integrals
- Weak local linear discretizations for stochastic differential equations: convergence and numerical schemes
- Multiple shooting-local linearization method for the identification of dynamical systems
- Computing $A^\alpha, \log(A)$, and Related Matrix Functions by Contour Integrals
- Title not available (Why is that?)
- Computing high dimensional multiple integrals involving matrix exponentials
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