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 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.

Specifying time-dependent correlation matrices is a problem that occurs in several important areas of finance and risk management. The goal of this work is to tackle this problem by applying techniques of geometric integration in financial mathematics, i.e., to combine two fields of numerical mathematics that have not been studied yet jointly. Based on isospectral flows we create valid time-dependent correlation matrices, so called correlation flows, by solving a stochastic differential equation (SDE) that evolves in the special orthogonal group. Since the geometric structure of the special orthogonal group needs to be preserved we use stochastic Lie group integrators to solve this SDE. An application example is presented to illustrate this novel methodology.

Genetic covariance matrices (G-matrices) are a key focus for research and predictions from quantitative genetic evolutionary models of multiple traits. There is a consensus among quantitative geneticists that the G-matrix can evolve through deep time. Yet, quantitative genetic models for the evolution of the G-matrix are lacking. In contrast, the field of macroevolution has several stochastic models for univariate traits evolving on phylogenies. However, analytical models of how multivariate trait matrices might evolve on phylogenies have not been considered. Here, we show how three analytical models for matrix evolution can be combined to unify quantitative genetics and macroevolutionary theory in a coherent mathematical framework. The models provide a basis for understanding how G-matrices might evolve on phylogenies. We fit models to data via simulation using Approximate Bayesian Computation. Such models can be used to generate and test hypotheses about the evolution of genetic variances and covariances, together with the evolution of the traits themselves, and how these might vary across a phylogeny. This unification of macroevolutionary theory and quantitative genetics is an advance in the study of phenotypes, allowing for the construction of a synthetic quantitative theory of the evolution of species and multivariate traits over deep time.