# Cutoff stability of multivariate geometric Brownian motion

@inproceedings{Barrera2022CutoffSO, title={Cutoff stability of multivariate geometric Brownian motion}, author={Gerardo Barrera and Michael A. Hogele and Juan Carlos Pardo}, year={2022} }

. This article quantiﬁes the asymptotic ε -mixing times, as ε tends to 0, of a multivariate geometric Brownian motion with respect to the Wasserstein-2-distance. We study the cases of commutative, and ﬁrst order non-commutative drift and diﬀusion coeﬃcient matrices, respectively, in terms of the nilpotence of the respective iterated Lie commutators.

## One Citation

### Numerical solution of kinetic SPDEs via stochastic Magnus expansion

- Mathematics, Computer ScienceArXiv
- 2022

It is shown how the Itô-stochastic Magnus expansion can be used to ef-ﬁciently solve stochastic partial diﬀerential equations (SPDE) with two space variables numerically and is superior in terms of both accuracy and especially computational time.

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