Blar i NTNU Open på forfatter "Curry, Charles Henry Alexander"
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Algebraic structures and stochastic differential equations driven by Levy processes
Curry, Charles Henry Alexander; Ebrahimi-Fard, Kurusch; Malham, Simon J. A.; Wiese, Anke (Peer reviewed; Journal article, 2019)We construct an efficient integrator for stochastic differential systems driven by Lévy processes. An efficient integrator is a strong approximation that is more accurate than the corresponding stochastic Taylor approximation, ... -
Convergence of Lie group integrators
Curry, Charles Henry Alexander; Schmeding, Alexander (Journal article; Peer reviewed, 2019)We relate two notions of local error for integration schemes on Riemannian homogeneous spaces, and show how to derive global error estimates from such local bounds. In doing so, we prove for the first time that the Lie–Butcher ... -
On non-commutative stochastic exponentials
Curry, Charles Henry Alexander; Ebrahimi-Fard, Kurusch; Patras, Frederic (Journal article; Peer reviewed, 2019)Using non-commutative shuffle algebra, we outline how the Magnus expansion allows to define explicit stochastic exponentials for matrix-valued continuous semimartingales and Stratonovich integrals. -
Variable step size commutator free Lie group integrators
Curry, Charles Henry Alexander; Owren, Brynjulf (Journal article; Peer reviewed, 2019)We introduce variable step size commutator free Lie group integrators, where the error control is achieved using embedded Runge–Kutta pairs. These are schemes for the integration of initial value problems posed on homogeneous ... -
What is a post-Lie algebra and why is useful in geometric integration
Curry, Charles Henry Alexander; Ebrahimi-Fard, Kurusch; Munthe-Kaas, Hans (Journal article; Peer reviewed, 2018)We explain the notion of a post-Lie algebra and outline its role in the theory of Lie group integrators.