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An efficient approximation method for stochastic differential equations by means of the exponential Lie series

  • Published:1995-05 Issue:1-3 Volume:38 Page:13-19
  • ISSN:0378-4754
  • Container-title:Mathematics and Computers in Simulation
  • language:en
  • Short-container-title:Mathematics and Computers in Simulation

Author:

Castell Fabienne,Gaines Jessica

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Numerical Analysis,General Computer Science,Theoretical Computer Science

Reference12 articles.

1. Flots et séries de Taylor stochastiques;Ben Arous;Probab. Theory Related Fields,1989

2. Asymptotic expansion of stochastic flows;Castell;Probability Theory and Related Fields,1993

3. The discretization of stochastic differential equations: a primer;Clark,1987

4. An efficient approximation for a class of stochastic differential equations;Clark,1982

5. Randon generation of stochastic area integrals;Gaines;SIAM J. Appl. Math.,1994

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1. Simulating elliptic diffusions and orthogonal invariance;Journal of Computational Dynamics;2024

2. On the Stochastic Magnus Expansion and Its Application to SPDEs;Journal of Scientific Computing;2021-10-18

3. Algebraic structures and stochastic differential equations driven by Lévy processes;Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences;2019-01

4. Numerical Methods for Stochastic Differential Equations in Matrix Lie Groups Made Simple;IEEE Transactions on Automatic Control;2018-12

5. Construction of Symplectic Runge-Kutta Methods for Stochastic Hamiltonian Systems;Communications in Computational Physics;2016-12-05
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