A class of orthogonal integrators for stochastic differential equations

DOI10.1016/J.CAM.2004.12.016zbMATH Open1078.65004OpenAlexW2092752743MaRDI QIDQ557773FDOQ557773

Authors: Felix Carbonell, Juan Carlos Jimenez, Rolando Biscay 

Publication date: 30 June 2005

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.2004.12.016

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zbMATH Keywords

Runge-Kutta schemesOrthogonal integratorsStochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06)

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• A Lie algebraic approach to numerical integration of stochastic differential equations
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• Energy conservative stochastic difference scheme for stochastic Hamilton dynamical systems
• General order conditions for stochastic Runge-Kutta methods for both commuting and non-commuting stochastic ordinary differential equation systems
• LYAPUNOV SPECTRUM OF NONAUTONOMOUS LINEAR STOCHASTIC DIFFERENTIAL EQUATIONS
• Numerical Methods for Stochastic Systems Preserving Symplectic Structure
• On the Compuation of Lyapunov Exponents for Continuous Dynamical Systems
• QR-based methods for computing Lyapunov exponents of stochastic differential equations
• Runge-Kutta methods for orthogonal and isospectral flows
• Symplectic Integration of Hamiltonian Systems with Additive Noise
• Unitary Integrators and Applications to Continuous Orthonormalization Techniques

Cited In (2)

• Geometric Euler-Maruyama schemes for stochastic differential equations in \(\mathrm{SO}(n)\) and \(\mathrm{SE}(n)\)
• A dynamically bi-orthogonal method for time-dependent stochastic partial differential equations. I: Derivation and algorithms

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