A Lie algebraic approach to numerical integration of stochastic differential equations (Q2780557)
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scientific article; zbMATH DE number 1729170
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Lie algebraic approach to numerical integration of stochastic differential equations |
scientific article; zbMATH DE number 1729170 |
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15 April 2002
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stochastic differential equations
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Lie algebra
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composition methods
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operator splitting method
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mathematical finance
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stochastic Hamiltonian dynamical systems
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stochastic nonlinear system
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A Lie algebraic approach to numerical integration of stochastic differential equations (English)
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The paper considers discrete time approximations for stochastic differential equations. Operator splitting methods are used to produce numerical schemes that preserve key features of nonlinear stochastic differential equations. Applications in finance and for stochastic Hamiltonian dynamical systems are given.
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