A class of orthogonal integrators for stochastic differential equations

DOI10.1016/J.CAM.2004.12.016MaRDI QIDQ557773zbMATHOpenAlexFDO

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

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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Cites work

• scientific article; zbMATH DE number 88931 (Why is no real title available?)
• scientific article; zbMATH DE number 702482 (Why is no real title available?)
• scientific article; zbMATH DE number 953026 (Why is no real title available?)
• scientific article; zbMATH DE number 4118220 (Why is no real title available?)
• A Lie algebraic approach to numerical integration of stochastic differential equations
• Conserved quantities and symmetries related to stochastic dynamical systems
• 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)

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

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