On the Stochastic Magnus Expansion and Its Application to SPDEs
Work
Year: 2021
Type: article
Abstract: We derive the stochastic version of the Magnus expansion for linear systems of stochastic differential equations (SDEs). The main novelty with respect to the related literature is that we consider SD... more
Source: Journal of Scientific Computing
Institution University of Bologna
Cites: 38
Cited by: 10
Related to: 10
FWCI: 1.983
Citation percentile (by year/subfield): 89.44
Subfield: Finance
Domain: Social Sciences
Open Access status: hybrid
APC paid (est): $2,990
Grant ID 813261