Applications of Magnus expansions and pseudospectra to Markov processes

DOI10.1017/S0956792518000177MaRDI QIDQ5205831zbMATH OpenOpenAlexWikidataFDO

Authors Arieh Iserles, S. MacNamara

Publication date 16 December 2019

Published in European Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0956792518000177

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Applications of continuous-time Markov processes on discrete state spaces (60J28) Numerical computation of eigenvalues and eigenvectors of matrices (65F15)

Recommendations

• scientific article; zbMATH DE number 879787
• scientific article; zbMATH DE number 4201322
• Some simple but challenging Markov processes
• Global Asymptotic Stability of Solutions of Nonautonomous Master Equations
• Long time behavior of Markov processes and beyond

Cites work

• A new scaling and squaring algorithm for the matrix exponential
• An efficient finite difference method for parameter sensitivities of continuous time Markov chains
• Commuting birth-and-death processes
• Computing the action of the matrix exponential, with an application to exponential integrators
• Conservation de la positivité lors de la discrétisation des problèmes d'évolution paraboliques
• Functions of Difference Matrices Are Toeplitz Plus Hankel
• Generalized polar decompositions on Lie groups with involutive automorphisms
• scientific article; zbMATH DE number 741197 (Why is no real title available?)
• scientific article; zbMATH DE number 1795895 (Why is no real title available?)
• scientific article; zbMATH DE number 2212009 (Why is no real title available?)
• Kardar-Parisi-Zhang universality
• Macdonald processes, quantum integrable systems and the Kardar-Parisi-Zhang universality class
• Methods for the approximation of the matrix exponential in a Lie-algebraic setting
• Mittag-Leffler functions, related topics and applications
• Modeling and Simulating Chemical Reactions
• Multiscale Methods
• Multiscale Modeling of Chemical Kinetics via the Master Equation
• Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later
• On Global Representations of the Solutions of Linear Differential Equations as a Product of Exponentials
• On Magnus Integrators for Time-Dependent Schrödinger Equations
• On the exponential solution of differential equations for a linear operator
• Pseudospectra of the Convection-Diffusion Operator
• Random matrix theory
• Representations of Markov processes as multiparameter time changes
• Robustness analysis of spatiotemporal models in the presence of extrinsic fluctuations
• Singular stochastic PDEs
• Solving the chemical master equation for monomolecular reaction systems analytically
• Wave packet pseudomodes of twisted Toeplitz matrices

Cited in

(9)

• Wider contours and adaptive contours
• The Wei-Norman method for the infinite-server queue with phase-type arrivals
• Predicting slow relaxation timescales in open quantum systems
• The Magnus expansion for stochastic differential equations
• A class of new Magnus-type methods for semi-linear non-commutative Itô stochastic differential equations
• Combinatorial conversion and moment bisimulation for stochastic rewriting systems
• Localization and pseudospectra of twisted Toeplitz matrices with applications to ion channels
• Positivity-preserving methods for ordinary differential equations
• Simulation of bimolecular reactions: numerical challenges with the graph Laplacian

This page was built for publication: Applications of Magnus expansions and pseudospectra to Markov processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5205831)