Stochastic Lie Group Integrators

@article{Malham2008StochasticLG,
  title={Stochastic Lie Group Integrators},
  author={Simon J. A. Malham and Anke Wiese},
  journal={SIAM J. Scientific Computing},
  year={2008},
  volume={30},
  pages={597-617}
}
We present Lie group integrators for nonlinear stochastic differential equations with non-commutative vector fields whose solution evolves on a smooth finite dimensional manifold. Given a Lie group action that generates transport along the manifold, we pull back the stochastic flow on the manifold to the Lie group via the action, and subsequently pull back… CONTINUE READING