Geometric Euler-Maruyama schemes for stochastic differential equations in SO(n) and SE(n)
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algorithmCayley transformconvergenceEuler-Maruyamaexponential Rodrigues formulageometric integrationnumerical examplesPadé approximationquadratic Lie groupstochastic Lie group integratorsstrong convergence
PDEs with randomness, stochastic partial differential equations (35R60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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- Efficient strong integrators for linear stochastic systems
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- High order Runge-Kutta methods on manifolds
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- Interest rate models on Lie groups
- Lie-Butcher theory for Runge-Kutta methods
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Cited in
(6)- Higher strong order methods for linear Itô SDEs on matrix Lie groups
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- Numerical approximation of diffusions in \(\mathbb {R}^d\) using normal charts of a Riemannian manifold
- Stochastic Runge-Kutta-Munthe-Kaas methods in the modelling of perturbed rigid bodies
- Strong stochastic Runge-Kutta-Munthe-Kaas methods for nonlinear Itô SDEs on manifolds
- Leader-Following Rendezvous Control for Generalized Cucker-Smale Model on Riemannian Manifolds
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