Geometric Euler-Maruyama schemes for stochastic differential equations in \(\mathrm{SO}(n)\) and \(\mathrm{SE}(n)\) (Q2817779)
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scientific article; zbMATH DE number 6621947
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Geometric Euler-Maruyama schemes for stochastic differential equations in \(\mathrm{SO}(n)\) and \(\mathrm{SE}(n)\) |
scientific article; zbMATH DE number 6621947 |
Statements
2 September 2016
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stochastic Lie group integrators
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Padé approximation
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Euler-Maruyama
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Cayley transform
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geometric integration
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strong convergence
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quadratic Lie group
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numerical examples
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exponential Rodrigues formula
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convergence
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algorithm
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Geometric Euler-Maruyama schemes for stochastic differential equations in \(\mathrm{SO}(n)\) and \(\mathrm{SE}(n)\) (English)
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