Quantum many-body systems are characterized by their correlations. While equal-time
correlators and unequal-time commutators between operators are standard observables, the …

In this paper, a class of new Magnus-type methods is proposed for non-commutative Itô
stochastic differential equations (SDEs) with semi-linear drift term and semi-linear diffusion …

In this paper we present a general procedure for designing higher strong order methods for
linear Itô stochastic differential equations on matrix Lie groups and illustrate this strategy …

Given a stochastic differential equation (SDE) in R n whose solution is constrained to lie in
some manifold M⊂ R n, we identify a class of numerical schemes for the SDE whose …

The signature of a path can be described as its full non-commutative exponential. Following
T. Lyons, we regard its expectation, the expected signature, as a path space analogue of the …

This article quantifies the asymptotic ε-mixing times, as ε tends to 0, of a multivariate
geometric Brownian motion with respect to the Wasserstein-2-distance. We study the cases …

This paper deals with the expectation of monomials with respect to the stochastic area
integral and the increments of two Wiener processes,. In a monomial, if the exponent of one …

We study the effect of stochastic feeding costs on animal-based commodities with particular
focus on aquaculture. More specifically, we use soybean futures to infer on the stochastic …

Environmental noise on a controlled quantum system is generally modeled by a dissipative
Lindblad equation. This equation describes the average state of the system via the density …

In this paper, we show how the Itô-stochastic Magnus expansion can be used to efficiently
solve stochastic partial differential equations (SPDE) with two space variables numerically …