Correlation Matrices Driven by Stochastic Isospectral Flows

DOI10.1007/978-3-031-11818-0_59MaRDI QIDQ6048693

Matthias Ehrhardt, Michelle Muniz, Michael Günther

Publication date: 15 September 2023

Published in: Mathematics in Industry (Search for Journal in Brave)

Mathematics Subject Classification ID

Numerical analysis (65-XX)

Related Items (1)

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

Cites Work

• High order Runge-Kutta methods on manifolds
• Stochastic Lie Group Integrators
• A new methodology to create valid time-dependent correlation matrices via isospectral flows
• Geometric Numerical Integration

This page was built for publication: Correlation Matrices Driven by Stochastic Isospectral Flows