Higher Strong Order Methods for It\^o SDEs on Matrix Lie Groups

DOI10.1007/s10543-021-00905-9zbMath1507.65033arXiv2102.04131WikidataQ115384168 ScholiaQ115384168MaRDI QIDQ6360105

Michael Günther, Michelle Muniz, Matthias Ehrhardt, Renate Winkler

Publication date: 8 February 2021

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for Hamiltonian systems including symplectic integrators (65P10)

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