Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Efficient strong integrators for linear stochastic systems   We present numerical schemes for the strong solution of linear stochastic
differential equations driven by an arbitrary number of Wiener processes. These
schemes are based on the Neumann (stochastic Taylor) and Magnus expansions.
Firstly, we consider the case when the governing linear diffusion vector fields
commute with each other, but not with the linear drift vector field. We prove
that numerical methods based on the Magnus expansion are more accurate in the
mean-square sense than corresponding stochastic Taylor integration schemes.
Secondly, we derive the maximal rate of convergence for arbitrary
multi-dimensional stochastic integrals approximated by their conditional
expectations. Consequently, for general nonlinear stochastic differential
equations with non-commuting vector fields, we deduce explicit formulae for the
relation between error and computational costs for methods of arbitrary order.
Thirdly, we consider the consequences in two numerical studies, one of which is
an application arising in stochastic linear-quadratic optimal control.

23
The categories of this paper are: solv-int
0
The categories of this paper are: hep-ph
18
The categories of this paper are: econ
13
The categories of this paper are: quant-ph
37
The categories of this paper are: supr-con
35
The categories of this paper are: mtrl-th
5
The categories of this paper are: gr-qc
11
The categories of this paper are: hep-lat
33
The categories of this paper are: plasm-ph
10
The categories of this paper are: q-bio
6
The categories of this paper are: astro-ph
9
The categories of this paper are: nlin
1
The categories of this paper are: cs
32
The categories of this paper are: atom-ph
36
The categories of this paper are: cmp-lg
26
The categories of this paper are: bayes-an