High strong order methods for non-commutative stochastic ordinary differential equation systems and the Magnus formula

DOI10.1016/S0167-2789(99)00097-4zbMATH Open1194.65023OpenAlexW1994384777WikidataQ115339595 ScholiaQ115339595MaRDI QIDQ992139FDOQ992139

Authors: Kevin Burrage, Pamela M. Burrage 

Publication date: 11 September 2010

Published in: Physica D (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-2789(99)00097-4

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Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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• High strong order methods for non-commutative stochastic ordinary differential equation systems and the Magnus formula
• 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
• Continuous Markov processes and stochastic equations

Cited In (47)

• Stochastically stable one-step approximations of solutions of stochastic ordinary differential equations
• Adaptive methods for stochastic differential equations via natural embeddings and rejection sampling with memory
• The Magnus expansion for stochastic differential equations
• Application of Multiple Fourier-Legendre Series to Implementation of Strong Exponential Milstein and Wagner-Platen Methods for Non-Commutative Semilinear Stochastic Partial Differential Equations
• Weak stochastic Runge-Kutta Munthe-Kaas methods for finite spin ensembles
• On the stochastic Magnus expansion and its application to SPDEs
• Numerical simulations of stochastic differential equations with multiple conserved quantities by conservative methods
• Numerical treatment of stochastic delay differential equations: a global error bound
• Geometric Euler-Maruyama schemes for stochastic differential equations in \(\mathrm{SO}(n)\) and \(\mathrm{SE}(n)\)
• Simplified formulas for the mean and variance of linear stochastic differential equations
• A class of new Magnus-type methods for semi-linear non-commutative Itô stochastic differential equations
• Mean-square stability properties of an adaptive time-stepping SDE solver
• Efficient strong integrators for linear stochastic systems
• Almost sure and moment exponential stability of predictor-corrector methods for stochastic differential equations
• Formulae for Mixed Moments of Wiener Processes and a Stochastic Area Integral
• A new adaptive Runge-Kutta method for stochastic differential equations
• Economical Runge-Kutta methods with strong global order one for stochastic differential equations
• Cubature methods and applications
• Modified stochastic theta methods by ODEs solvers for stochastic differential equations
• High strong order methods for non-commutative stochastic ordinary differential equation systems and the Magnus formula
• Convergence of an operator splitting scheme for abstract stochastic evolution equations
• Numerical simulation of stochastic ordinary differential equations in biomathematical modelling.
• Numerical solutions of stochastic differential equations -- implementation and stability issues
• Order conditions for stochastic Runge-Kutta methods preserving quadratic invariants of Stratonovich SDEs
• On the stability properties of a stochastic model for phage-bacteria interaction in open marine environment
• Adaptive stepsize based on control theory for stochastic differential equations
• On mean-square stability properties of a new adaptive stochastic Runge-Kutta method
• General order conditions for stochastic Runge-Kutta methods for both commuting and non-commuting stochastic ordinary differential equation systems
• Effective numerical methods for simulating diffusion on a spherical surface in three dimensions
• Persistence and extinction in stochastic delay logistic equation by incorporating Ornstein-Uhlenbeck process
• On expansions for nonlinear systems error estimates and convergence issues
• Minimal truncation error constants for Runge-Kutta method for stochastic optimal control problems
• A Stage-Structured Stochastic Model of Sterile Male Under Immigration
• Strong-order conditions of Runge-Kutta method for stochastic optimal control problems
• Runge-Kutta methods for third order weak approximation of SDEs with multidimensional additive noise
• Symplectic integrators to stochastic Hamiltonian dynamical systems derived from composition methods
• Convergence of the exponential Lie series
• Splitting integrators for the stochastic Landau-Lifshitz equation
• A stepsize control algorithm for SDEs with small noise based on stochastic Runge-Kutta Maruyama methods
• Stochastic symplectic Runge-Kutta methods for the strong approximation of Hamiltonian systems with additive noise
• Cancer self remission and tumor stability -- a stochastic approach
• Shell model for time-correlated random advection of passive scalars.
• B-series analysis of iterated Taylor methods
• Higher strong order methods for linear Itô SDEs on matrix Lie groups
• Algebraic structures and stochastic differential equations driven by Lévy processes
• Numerical solution of stochastic differential problems in the biosciences
• Multiple stochastic integrals with Mathematica

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