Algebraic structure of stochastic expansions and efficient simulation

DOI10.1098/rspa.2012.0024zbMath1371.60102arXiv1112.5571OpenAlexW3102976634MaRDI QIDQ5362000

Hans Z. Munthe-Kaas, Kurusch Ebrahimi-Fard, Anke Wiese, Alexander Lundervold, Simon J. A. Malham

Publication date: 29 September 2017

Published in: Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1112.5571

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Analytical theory of ordinary differential equations: series, transformations, transforms, operational calculus, etc. (34A25) Ordinary differential equations and systems with randomness (34F05)

Related Items (7)

Word series for dynamical systems and their numerical integrators ⋮ The non-commutative Korteweg-de Vries hierarchy and combinatorial Pöppe algebra ⋮ Word combinatorics for stochastic differential equations: splitting integrators ⋮ Lévy processes and quasi-shuffle algebras ⋮ A Technique for Studying Strong and Weak Local Errors of Splitting Stochastic Integrators ⋮ Algebraic structures and stochastic differential equations driven by Lévy processes ⋮ Quasi-shuffle algebras in non-commutative stochastic calculus

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