most citedA novel approach to rating transition modelling via Machine Learning and SDEs on Lie groups

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math.NA2021

Higher Strong Order Methods for Itô SDEs on Matrix Lie Groups

Michelle Muniz, Matthias Ehrhardt, Michael Günther +1

In this paper we present a general procedure for designing higher strong order methods for Itô stochastic differential equations on matrix Lie groups and illustrate this strategy w…