Magnus Exponential Integrators for Stiff Time-Varying Stochastic Systems

Dev Jasuja, P. J. Atzberger

We introduce exponential numerical integration methods for stiff stochastic dynamical systems of the form $d{\mathbf{z}}_t=L(t){\mathbf{z}}_{t}dt+\mathbf{f}(t)dt+Q(t)d{\mathbf{W}}_t$…