A Magnus-based integrator for Brownian parametric semi-linear oscillators

DOI10.1016/J.AMC.2024.128610MaRDI QIDQ6132110zbMATH OpenOpenAlexFDO

Authors Raffaele D'Ambrosio, Hugo de la Cruz, Carmela Scalone

Publication date 18 April 2024

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2024.128610

zbMATH Keywords

exponential integratorsMagnus expansionsstochastic differential equationsstochastic oscillators

Mathematics Subject Classification ID

Stochastic analysis (60Hxx) Probabilistic methods, stochastic differential equations (65Cxx) Numerical methods for ordinary differential equations (65Lxx)

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Cited in

(1)

• Preserving invariant domains and strong approximation of stochastic differential equations

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