Geometric Euler--Maruyama Schemes for Stochastic Differential Equations in SO(n) and SE(n)
DOI10.1137/15M1019726zbMath1347.65015OpenAlexW2515882314WikidataQ115246971 ScholiaQ115246971MaRDI QIDQ2817779
Victor Solo, Marc James Piggott
Publication date: 2 September 2016
Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/15m1019726
algorithmconvergencestrong convergencenumerical examplesPadé approximationgeometric integrationCayley transformquadratic Lie groupEuler-Maruyamaexponential Rodrigues formulastochastic Lie group integrators
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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Cites Work
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