Higher Strong Order Methods for Itô SDEs on Matrix Lie Groups

Abstract

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.