QR-based methods for computing Lyapunov exponents of stochastic differential equations

MaRDI QIDQ2905678zbMATH OpenFDO

Authors Felix Carbonell, Rolando Biscay, Juan Carlos Jimenez

Publication date 28 August 2012

Published in International Journal of Numerical Analysis and Modeling. Series B (Search for Journal in Brave)

zbMATH Keywords

Lyapunov exponentsnumerical methodsQR-decompositionstochastic differential equations

Mathematics Subject Classification ID

Characteristic and Lyapunov exponents of ordinary differential equations (34D08) Computational methods for ergodic theory (approximation of invariant measures, computation of Lyapunov exponents, entropy, etc.) (37M25) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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• A class of orthogonal integrators for stochastic differential equations

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