A Lie Algebraic Approach to Numerical Integration of Stochastic Differential Equations

DOI10.1137/S106482750037024XzbMath1004.65010MaRDI QIDQ2780557

Tetsuya Misawa

Publication date: 15 April 2002

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationsLie algebramathematical financeoperator splitting methodstochastic nonlinear systemstochastic Hamiltonian dynamical systemscomposition methods

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Lie algebras of vector fields and related (super) algebras (17B66) Generation, random and stochastic difference and differential equations (37H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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