Brownian Processes for Monte Carlo Integration on Compact Lie Groups

DOI10.1080/07362994.2012.727140zbMath1259.82111OpenAlexW2324349653WikidataQ115297248 ScholiaQ115297248MaRDI QIDQ3145065

Salem Said, Jonathan H. Manton

Publication date: 13 December 2012

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2012.727140

zbMATH Keywords

Monte Carlocompact Lie groupergodic propertyBrownian process

Mathematics Subject Classification ID

Related Items (1)

Geometric Euler--Maruyama Schemes for Stochastic Differential Equations in SO(n) and SE(n)

Cites Work

• Integration with respect to the Haar measure on unitary, orthogonal and symplectic group
• Stochastic calculus in manifolds. With an appendix by P.A. Meyer
• Multiplicative decomposition of non-singular matrix valued continuous semimartingales
• Lévy processes and Fourier analysis on compact Lie groups.
• The cut-off phenomenon for random reflections
• On the convergence to equilibrium of Kac's random walk on matrices
• The Subgroup Algorithm for Generating Uniform Random Variables
• An Iterative Monte Carlo Scheme for Generating Lie Group-Valued Random Variables
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