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- W4297798340 abstract "In this paper we present a general procedure for designing higher strong order methods for It^o stochastic differential equations on matrix Lie groups and illustrate this strategy with two novel schemes that have a strong convergence order of 1.5. Based on the Runge-Kutta--Munthe-Kaas (RKMK) method for ordinary differential equations on Lie groups, we present a stochastic version of this scheme and derive a condition such that the stochastic RKMK has the same strong convergence order as the underlying stochastic Runge-Kutta method. Further, we show how our higher order schemes can be applied in a mechanical engineering as well as in a financial mathematics setting." @default.
- W4297798340 created "2022-10-01" @default.
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- W4297798340 date "2021-02-08" @default.
- W4297798340 modified "2023-10-16" @default.
- W4297798340 title "Higher Strong Order Methods for It^o SDEs on Matrix Lie Groups" @default.
- W4297798340 doi "https://doi.org/10.48550/arxiv.2102.04131" @default.
- W4297798340 hasPublicationYear "2021" @default.
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