A Method of Second-Order Accuracy Integration of Stochastic Differential Equations

Cited in

(59)

General order conditions for stochastic Runge-Kutta methods for both commuting and non-commuting stochastic ordinary differential equation systems
On simulating strongly-interacting, stochastic population models.
Variance reduction for discretised diffusions via regression
Numerical methods for simulation of stochastic differential equations
Mean-square stability of second-order Runge-Kutta methods for stochastic differential equations
On simulating strongly interacting, stochastic population models. II: Multiple compartments
Simultaneous time and chance discretization for stochastic differential equations
Second-order weak approximations for Stratonovich stochastic differential equations
Numerical solution of differential equations with colored noise
The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
Numerical integration of stochastic differential equations.
Optimal pricing, production, and inventory for deteriorating items under demand uncertainty: the finite horizon case
A new simulation approach to the LIBOR market model
Cubature methods and applications
A low-bias simulation scheme for the SABR stochastic volatility model
Adaptive LASSO-type estimation for multivariate diffusion processes
Numerical procedures for sample structures on stochastic differential equations
Higher-Order Weak Approximation of Ito Diffusions by Markov Chains
A second-order Monte Carlo method for the solution of the Ito stochastic differential equation
Discrétisation d'une équation différentielle stochastique et calcul approché d'espérances de fonctionnelles de la solution
A class of second-order Runge-Kutta methods for numerical solution of stochastic differential equations
Exact solutions and doubly efficient approximations of jump-diffusion itô equations
A random map implementation of implicit filters
Pathwise convergence rates for numerical solutions of Markovian switching stochastic differential equations
A variance reduction technique for use with the extrapolated Euler method for numerical solution of stochastic differential equations
On the rate of convergence of simple and jump-adapted weak Euler schemes for Lévy driven SDEs
Option Pricing Under Incompleteness and Stochastic Volatility
Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method
MODELING PRIVATE EQUITY FUNDS AND PRIVATE EQUITY COLLATERALISED FUND OBLIGATIONS
Maximum likelihood estimation of partially observed diffusion models
Weak Euler scheme for Lévy-driven stochastic differential equations
Issues in the Software Implementation of Stochastic Numerical Runge–Kutta
A study of the data augmentation strategy for stochastic differential equations
Modified Euler scheme for the weak approximation of stochastic differential equations driven by the Wiener process
Bias in estimating multivariate and univariate diffusions
On the rate of convergence of weak Euler approximation for nondegenerate SDEs driven by Lévy processes
Runge-Kutta methods for numerical solution of stochastic differential equations
High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations
A first order continuous time <scp>VAR</scp> with random coefficients
Higher-order semi-implicit Taylor schemes for Itô stochastic differential equations
Credit default swap spreads modeling and forecasting with a stochastic square-root three-factor model
Modelling the industrial production of electric and gas utilities through the \(CIR^3\) model
Statistical inference for stochastic differential equations
The Milstein scheme for singular SDEs with Hölder continuous drift
Weak error analysis for strong approximation schemes of SDEs with super-linear coefficients II finitely many bounded moments and higher-order schemes
Long-term accuracy of numerical approximations of SPDEs with the stochastic Navier-Stokes equations as a paradigm
Stochastic Gompertzian model for parathyroid tumor growth
Weak error analysis for strong approximation schemes of SDEs with super-linear coefficients
A class of numerical algorithms for stochastic differential equations with randomly varying truncations
Theory and simulations of delayed stochastic and deterministic models of prion diseases
A comparative review of specification tests for diffusion models
A high-order discontinuous Galerkin method for Itô stochastic ordinary differential equations
Discretization and simulation of stochastic differential equations
Discretization of the Wiener-process in difference-methods for stochastic differential equations
Weak second-order splitting schemes for Lagrangian Monte Carlo particle methods for the composition PDF/FDF transport equations
Complexity and effective dimension of discrete Lévy areas
A survey of numerical methods for stochastic differential equations
Weak first- or second-order implicit Runge-Kutta methods for stochastic differential equations with a scalar Wiener process
Economical Runge-Kutta methods for numerical solution of stochastic differential equations

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