Result 1 to 20 of 25 total
A Runge-Kutta method for index 1 stochastic differential-algebraic equations with scalar noise. (English)
BIT 52, No. 2, 437-455 (2012).
1
Stochastic Runge-Kutta methods for Itô sodes with small noise. (English)
SIAM J. Sci. Comput. 32, No. 4, 1789-1808 (2010).
2
Runge-Kutta methods for the strong approximation of solutions of stochastic differential equations. (English)
SIAM J. Numer. Anal. 48, No. 3, 922-952 (2010).
3
Strong and weak approximation methods for stochastic differential equations ‒ some recent developments. (English)
Devroye, Luc (ed.) et al., Recent developments in applied probability and statistics. Dedicated to the memory of Jürgen Lehn. Heidelberg: Physica-Verlag (ISBN 978-3-7908-2597-8/hbk; 978-3-7908-2598-5/ebook). 127-153 (2010).
4
Stochastic Taylor expansions for functionals of diffusion processes. (English)
Stochastic Anal. Appl. 28, No. 3, 415-429 (2010).
5
Runge-Kutta methods for the strong approximation of solutions of stochastic differential equations (English)
SIAM J. Numerical Analysis 48, No. 3, 922-952 (2010).
6
Second order Runge-Kutta methods for Itô stochastic differential equations. (English)
SIAM J. Numer. Anal. 47, No. 3, 1713-1738 (2009).
7
Diagonally drift-implicit Runge-Kutta methods of weak order one and two for Itô SDEs and stability analysis. (English)
Appl. Numer. Math. 59, No. 3-4, 595-607 (2009).
8
Families of efficient second order Runge-Kutta methods for the weak approximation of Itô stochastic differential equations. (English)
Appl. Numer. Math. 59, No. 3-4, 582-594 (2009).
9
Second order Runge-Kutta methods for itô stochastic differential equations (English)
SIAM J. Numerical Analysis 47, No. 3, 1713-1738 (2009).
10
Continuous Runge-Kutta methods for Stratonovich stochastic differential equations. (English)
Keller, Alexander (ed.) et al., Monte Carlo and quasi-Monte Carlo methods 2006. Selected papers based on the presentations at the 7th international conference ‘Monte Carlo and quasi-Monte Carlo methods in scientific computing’, Ulm, Germany, August 14‒18, 2006. Berlin: Springer (ISBN 978-3-540-74495-5/hbk). 237-250 (2008).
11
Method of lines for stochastic boundary-value problems with additive noise. (English)
Appl. Math. Comput. 199, No. 1, 301-314 (2008).
12
Classification of stochastic Runge-Kutta methods for the weak approximation of stochastic differential equations. (English)
Math. Comput. Simul. 77, No. 4, 408-420 (2008).
13
Continuous weak approximation for stochastic differential equations. (English)
J. Comput. Appl. Math. 214, No. 1, 259-273 (2008).
14
Method of lines for stochastic boundary-value problems with additive noise (English)
Applied Mathematics and Computation 199, No. 1, 301-314 (2008).
15
Second order Runge-Kutta methods for Stratonovich stochastic differential equations. (English)
BIT 47, No. 3, 657-680 (2007).
16
A step size control algorithm for the weak approximation of stochastic differential equations. (English)
Numer. Algorithms 44, No. 4, 335-346 (2007).
17
Runge-Kutta methods for affinely controlled nonlinear systems. (English)
J. Comput. Appl. Math. 205, No. 2, 957-968 (2007).
18
Runge-Kutta methods for Itô stochastic differential equations with scalar noise. (English)
BIT 46, No. 1, 97-110 (2006).
19
Rooted tree analysis for order conditions of stochastic Runge-Kutta methods for the weak approximation of stochastic differential equations. (English)
Stochastic Anal. Appl. 24, No. 1, 97-134 (2006).
20
Result 1 to 20 of 25 total
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