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math.NA2007★ 1 cited
Efficient strong integrators for linear stochastic systems
Gabriel Lord, Simon J. A. Malham, Anke Wiese
We present numerical schemes for the strong solution of linear stochastic differential equations driven by an arbitrary number of Wiener processes. These schemes are based on the N…
math.NA2007
Stochastic Lie group integrators
Simon J. A. Malham, Anke Wiese
We present Lie group integrators for nonlinear stochastic differential equations with non-commutative vector fields whose solution evolves on a smooth finite dimensional manifold.…