A fast convergent numerical method for matrix sign function with application in SDEs

摘要

In this article, a new matrix iterative method for computing the sign of a matrix is offered. Convergence along with asymptotical stability of the presented method is studied. An accelerated form of the iteration will further be constructed. Finally, the application of the given approach in numerical solution of stochastic differential equations and in solving algebraic Riccati equations is pointed out.