Computing multiple integrals involving matrix exponentials

DOI10.1016/j.cam.2007.01.007zbMath1133.65012OpenAlexW2076234777MaRDI QIDQ2469632

L. M. Pedroso, J. C. Jimenez, F. Carbonell

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

zbMATH Keywords

algorithmmatrix exponentialsmultiple integralsintegral of exponential matrices

Mathematics Subject Classification ID

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Uses Software

• Expokit

Cites Work

• Unnamed Item
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• Stochastic models, estimation, and control. Vol. 2,3
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• Padé approximation for the exponential of a block triangular matrix
• Weak local linear discretizations for stochastic differential equations: convergence and numerical schemes
• Stochastic processes and filtering theory
• Computing the noise covariance matrix of the local linearization scheme for the numerical solution of stochastic differential equations
• Quadrature Methods for Stiff Ordinary Differential Systems
• Computing integrals involving the matrix exponential
• Expokit
• Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later
• Local linearization filters for non-linear continuous-discrete state space models with multiplicative noise
• Local Linearization Method for Numerical Integration of Delay Differential Equations
• Some A-Stable Methods for Stiff Ordinary Differential Equations

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