In this paper, I explore the exponential Rosenbrock-type method of order two. It is an explicit method that solves stiff ODEs. The method linearizes the equation with each step, then uses a matrix exponential to solve the linearized equation exactly. Previous research has identified stability bounds and convergence results. In this paper, I explore the stiffness capabilities of this second orde...

We examine some differential geometric approaches to finding approximate solutions to the continuous time nonlinear filtering problem. Our primary focus is a new projection method for the optimal filter infinite dimensional Stochastic Partial Differential Equation (SPDE), based on the direct L2 metric and on a family of normal mixtures. We compare this method to earlier projection methods based...