Higher strong order methods for linear Itô SDEs on matrix Lie groups

DOI10.1007/s10543-021-00905-9OpenAlexW4205700420WikidataQ115384168 ScholiaQ115384168MaRDI QIDQ2100530

Yanyan Li

Publication date: 22 November 2022

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2102.04131

zbMATH Keywords

geometric integrationLie group methodsstochastic Runge-Kutta methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for Hamiltonian systems including symplectic integrators (65P10)

Related Items (1)

Strong stochastic Runge-Kutta-Munthe-Kaas methods for nonlinear Itô SDEs on manifolds

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