High Strong Order Methods for Non-commutative Stochastic Ordinary Diierential Equation Systems and the Magnus Formula

Abstract

In recent years considerable attention has been paid to the numerical solution of stochastic ordinary diierential equations (SODEs), as SODEs are often more appropriate than their deterministic counterparts in many modelling situations. However, unlike the deterministic case numerical methods for SODEs are considerably less sophisticated due to the diiculty… (More)

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Cite this paper

@inproceedings{Burrage1999HighSO, title={High Strong Order Methods for Non-commutative Stochastic Ordinary Diierential Equation Systems and the Magnus Formula}, author={Kevin Burrage and P. M. Burrage}, year={1999} }