High strong order methods for non-commutative stochastic ordinary differential equation systems and the Magnus formula
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Cites work
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- Continuous Markov processes and stochastic equations
- General order conditions for stochastic Runge-Kutta methods for both commuting and non-commuting stochastic ordinary differential equation systems
- High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations
- High strong order methods for non-commutative stochastic ordinary differential equation systems and the Magnus formula
- Nineteen Dubious Ways to Compute the Exponential of a Matrix
- Numerical Treatment of Stochastic Differential Equations
- Numerical integration of ordinary differential equations on manifolds
- On the exponential solution of differential equations for a linear operator
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- Cancer self remission and tumor stability -- a stochastic approach
- Splitting integrators for the stochastic Landau-Lifshitz equation
- Numerical treatment of stochastic delay differential equations: a global error bound
- Economical Runge-Kutta methods with strong global order one for stochastic differential equations
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- Cubature methods and applications
- Simplified formulas for the mean and variance of linear stochastic differential equations
- The Magnus expansion for stochastic differential equations
- On mean-square stability properties of a new adaptive stochastic Runge-Kutta method
- Efficient strong integrators for linear stochastic systems
- Application of Multiple Fourier-Legendre Series to Implementation of Strong Exponential Milstein and Wagner-Platen Methods for Non-Commutative Semilinear Stochastic Partial Differential Equations
- Algebraic structures and stochastic differential equations driven by Lévy processes
- Convergence of an operator splitting scheme for abstract stochastic evolution equations
- A stepsize control algorithm for SDEs with small noise based on stochastic Runge-Kutta Maruyama methods
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- Higher strong order methods for linear Itô SDEs on matrix Lie groups
- On the stability properties of a stochastic model for phage-bacteria interaction in open marine environment
- Multiple stochastic integrals with Mathematica
- A class of new Magnus-type methods for semi-linear non-commutative Itô stochastic differential equations
- Adaptive methods for stochastic differential equations via natural embeddings and rejection sampling with memory
- Weak stochastic Runge-Kutta Munthe-Kaas methods for finite spin ensembles
- A new adaptive Runge-Kutta method for stochastic differential equations
- Formulae for Mixed Moments of Wiener Processes and a Stochastic Area Integral
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- Geometric Euler-Maruyama schemes for stochastic differential equations in \(\mathrm{SO}(n)\) and \(\mathrm{SE}(n)\)
- A Stage-Structured Stochastic Model of Sterile Male Under Immigration
- Numerical simulation of stochastic ordinary differential equations in biomathematical modelling.
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