Computing high dimensional multiple integrals involving matrix exponentials
From MaRDI portal
Publication:2095151
DOI10.1016/j.cam.2022.114844zbMath1506.65066OpenAlexW4296903459MaRDI QIDQ2095151
Publication date: 9 November 2022
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2022.114844
Matrix exponential and similar functions of matrices (15A16) Numerical computation of matrix exponential and similar matrix functions (65F60)
Uses Software
Cites Work
- Unnamed Item
- Simplified formulas for the mean and variance of linear stochastic differential equations
- A weak local linearization scheme for stochastic differential equations with multiplicative noise
- Convergence rate of strong local linearization schemes for stochastic differential equations with additive noise
- Exponential multistep methods of Adams-type
- Stochastic models, estimation, and control. Vol. 2,3
- A higher order local linearization method for solving ordinary differential equations
- Linear estimation of continuous-discrete linear state space models with multiplicative noise
- Locally linearized Runge-Kutta method of Dormand and Prince for large systems of initial value problems
- Computing multiple integrals involving matrix exponentials
- Efficient integration of large stiff systems of ODEs with exponential propagation iterative (EPI) methods
- Algorithm 919
- Analysis of Some Krylov Subspace Approximations to the Matrix Exponential Operator
- Computing integrals involving the matrix exponential
- Nineteen Dubious Ways to Compute the Exponential of a Matrix
- Expokit
- On Krylov Subspace Approximations to the Matrix Exponential Operator
- Optimal Estimation of Dynamic Systems
- Bias reduction in the estimation of diffusion processes from discrete observations
- Approximate linear minimum variance filters for continuous-discrete state space models: convergence and practical adaptive algorithms
- Local Linearization Method for Numerical Integration of Delay Differential Equations
This page was built for publication: Computing high dimensional multiple integrals involving matrix exponentials
