Geometry-preserving Lie group integrators for differential equations on the manifold of symmetric positive definite matrices

DOI10.1007/978-3-031-38299-4_45arXiv2210.08842OpenAlexW4306399940MaRDI QIDQ6179035

Franck Vermet, Lucas Drumetz, Alexandre Reiffers Masson, Naoufal El Bekri

Publication date: 16 January 2024

Published in: Lecture Notes in Computer Science (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2210.08842

zbMATH Keywords

stochastic differential equationsLie groupsdifferential equationssymmetric positive definite matrices

Mathematics Subject Classification ID

Invariance and symmetry properties for PDEs on manifolds (58J70) Numerical analysis in abstract spaces (65Jxx)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Cholesky-GARCH models with applications to finance
• An introduction to Lie group integrators - basics, new developments and applications
• Non-Euclidean statistics for covariance matrices, with applications to diffusion tensor imaging
• Discrete mechanics, geometric integration and Lie-Butcher series. DMGILBS, Madrid, Spain, May 2015
• Positive Definite Matrices
• Learning latent dynamics for partially observed chaotic systems
• Book Reviews

This page was built for publication: Geometry-preserving Lie group integrators for differential equations on the manifold of symmetric positive definite matrices