The Magnus Expansion for Stochastic Differential Equations
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DOI: 10.1007/s00332-019-09578-9
Abstract: In this paper, all the terms in the stochastic Magnus expansion are presented by rooted trees. First, stochastic Magnus methods for linear stochastic differential equations are constructed by truncating the stochastic Magnus expansion. Then, explicit… read more here.
Keywords: stochastic magnus; magnus expansion; differential equations; stochastic differential ... See more keywords