Efficient Strong Integrators for Linear Stochastic Systems

DOI10.1137/060656486zbMath1179.60046arXiv0708.2850OpenAlexW2083763944MaRDI QIDQ3654394

Anke Wiese, Simon J. A. Malham, Gabriel J. Lord

Publication date: 6 January 2010

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0708.2850

zbMATH Keywords

Magnus expansionlinear stochastic differential equationsstochastic linear-quadratic controlstrong numerical methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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Weak stochastic Runge-Kutta Munthe-Kaas methods for finite spin ensembles ⋮ On the stochastic Magnus expansion and its application to SPDEs ⋮ Perturbed linear rough differential equations ⋮ Stochastic regularized Newton methods for nonlinear equations ⋮ Convergence rate of strong local linearization schemes for stochastic differential equations with additive noise ⋮ Splitting Integrators for the Stochastic Landau--Lifshitz Equation ⋮ Geometric Euler--Maruyama Schemes for Stochastic Differential Equations in SO(n) and SE(n) ⋮ CHI-SQUARE SIMULATION OF THE CIR PROCESS AND THE HESTON MODEL ⋮ Algebraic structures and stochastic differential equations driven by Lévy processes

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