Higher Strong Order Methods for Itô SDEs on Matrix Lie Groups

02/08/2021
by   Michelle Muniz, et al.
0

In this paper we present a general procedure for designing higher strong order methods for Itô 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.

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