On the Stochastic Magnus Expansion and Its Application to SPDEs

Abstract

AbstractWe derive the stochastic version of the Magnus expansion for linear systems of stochastic differential equations (SDEs). The main novelty with respect to the related literature is that we consider SDEs in the Itô sense, with progressively measurable coefficients, for which an explicit Itô-Stratonovich conversion is not available. We prove convergence of the Magnus expansion up to a stopping time $$\tau $$ τ and provide a novel asymptotic estimate of the cumulative distribution function of $$\tau $$ τ . As an application, we propose a new method for the numerical solution of stochastic partial differential equations (SPDEs) based on spatial discretization and application of the stochastic Magnus expansion. A notable feature of the method is that it is fully parallelizable. We also present numerical tests in order to asses the accuracy of the numerical schemes.