Numerical Methods for Stochastic Differential Equations in Matrix Lie Groups Made Simple

DOI10.1109/TAC.2018.2798703zbMath1425.65017OpenAlexW2789735464WikidataQ115264441 ScholiaQ115264441MaRDI QIDQ4562785

Victor Solo, Goran Marjanovic

Publication date: 18 December 2018

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tac.2018.2798703

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Probability measures on groups or semigroups, Fourier transforms, factorization (60B15)

Related Items (5)

Stochastic Runge-Kutta–Munthe-Kaas Methods in the Modelling of Perturbed Rigid Bodies ⋮ On the stochastic Magnus expansion and its application to SPDEs ⋮ Strong stochastic Runge-Kutta-Munthe-Kaas methods for nonlinear Itô SDEs on manifolds ⋮ Hasimoto frames and the Gibbs measure of the periodic nonlinear Schrödinger equation ⋮ Higher strong order methods for linear Itô SDEs on matrix Lie groups

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