Approximate Integration of Stochastic Differential Equations

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Split-step backward balanced Milstein methods for stiff stochastic systems
The fully implicit stochastic-\(\alpha \) method for stiff stochastic differential equations
Higher-order implicit strong numerical schemes for stochastic differential equations
Numerical solution of a class of random boundary value problems
Carathéodory approximate solutions for a class of semilinear stochastic evolution equations with time delays
Estimating the implicit interest rate of a risky asset
Adams methods for the efficient solution of stochastic differential equations with additive noise
Analysis of stochastic numerical schemes for the evolution equations of geophysics
Weak Milstein scheme without commutativity condition and its error bound
Gaussian process approximations for fast inference from infectious disease data
Continuous-time smooth ambiguity preferences
Numerical methods for simulation of stochastic differential equations
A second-order weak approximation of SDEs using a Markov chain without Lévy area simulation
Stationary moments, diffusion limits, and extinction times for logistic growth with random catastrophes
Wave pinning in competition-diffusion models in variable environments
Pricing extendible options using the fast Fourier transform
A new delta expansion for multivariate diffusions via the Itô-Taylor expansion
Statistical analysis of diffusion systems with invariants
The truncated Milstein method for stochastic differential equations with commutative noise
Chebyshev spectral collocation method for stochastic delay differential equations
An improved Milstein method for stiff stochastic differential equations
Two-factor term structure model with uncertain volatility risk
Numerical simulation of the stochastic Korteweg-de Vries equation
Joint characteristic function and simultaneous simulation of iterated Itô integrals for multiple independent Brownian motions
Observation sampling and quantisation for continuous-time estimators.
On the simulation of iterated Itô integrals.
Some problems in the simulation of nonlinear diffusion processes
On the MS-stability of predictor-corrector schemes for stochastic differential equations
Stability of the drift-implicit and double-implicit Milstein schemes for nonlinear SDEs
Convergence, non-negativity and stability of a new lobatto IIIC-Milstein method for a pricing option approach based on stochastic volatility model
Stationary distribution, extinction, density function and periodicity of an \(n\)-species competition system with infinite distributed delays and nonlinear perturbations
Computing the finite time Lyapunov exponent for flows with uncertainties
A stochastic SIS epidemic model with vaccination
\textit{Planktos}: an agent-based modeling framework for small organism movement and dispersal in a fluid environment with immersed structures
Invariant measures of the Milstein method for stochastic differential equations with commutative noise
Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations
A Milstein scheme for SPDEs
Stochastic C-stability and B-consistency of explicit and implicit Milstein-type schemes
Valuation of boundary-linked assets by stochastic boundary value problems solved with a wavelet-collocation algorithm
Edgeworth-type expansions for transition densities of Markov chains converging to diffusions
A novel stochastic locally transversal linearization (LTL) technique for engineering dynamical systems: strong solutions
Application of the Heston stochastic volatility model for Borsa Istanbul using impression matrix norm
Random walk numerical scheme for the steady-state of stochastic differential equations
Statistical mechanics of holonomic systems as a Brownian motion on smooth manifolds
Parallel optimized sampling for stochastic equations
Double-implicit and split two-step Milstein schemes for stochastic differential equations
Generalized moment estimation of stochastic differential equations
Numerical procedures for sample structures on stochastic differential equations
Option pricing in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Simulation
Recursive marginal quantization of higher-order schemes
Modeling and analysis of linear invariant stochastic systems
Stochastic modified equations and dynamics of stochastic gradient algorithms. I: Mathematical foundations
Stochastic modeling of the full cycle of one-product macroeconomy of growth
On Markov modelling of turbulence
Deep splitting method for parabolic PDEs
Applying spectral form of mathematical description for representation of iterated stochastic integrals
Issues in the Software Implementation of Stochastic Numerical Runge–Kutta
Efficient simulation methods for the quasi-Gaussian term-structure model with volatility smiles: practical applications of the KLNV-scheme
Strong convergence in \(L^p\) of Milstein method for Itô stochastic differential equations
Convergence and stability of the canonical EM splitting method for nonautonomous stiff stochastic differential equations
On the approximation and simulation of iterated stochastic integrals and the corresponding Lévy areas in terms of a multidimensional Brownian motion
A kinetic Monte Carlo approach for simulating cascading transmission line failure
Modifying the split-step -method with harmonic-mean term for stochastic differential equations
Higher-order discretization methods of forward-backward SDEs using KLNV-scheme and their applications to XVA pricing
Nonintrusive polynomial chaos expansions for sensitivity analysis in stochastic differential equations
Milstein-type procedures for numerical solutions of stochastic differential equations with Markovian switching
Unbiased Monte Carlo estimate of stochastic differential equations expectations
Multiscale modelling and splitting approaches for fluids composed of Coulomb-interacting particles
Building a path-integral calculus: a covariant discretization approach
On the discretization in time of parabolic stochastic partial differential equations
Random evolution equations in hydrology
Random evolution equations in hydrology
Implicit Taylor methods for stiff stochastic differential equations
Effects of distributed delays on the stability of structures under seismic excitation and multiplicative noise.
Higher order time discretization method for a class of semilinear stochastic partial differential equations with multiplicative noise
Higher order time discretization method for the stochastic Stokes equations with multiplicative noise
Total variation bound for Milstein scheme without iterated integrals
Stochastic estimation of Green's functions with application to diffusion and advection-diffusion-reaction problems
Stationary distribution of the Milstein scheme for stochastic differential delay equations with first-order convergence
Convergence and stability of the Milstein scheme for stochastic differential equations with piecewise continuous arguments
Climate change for global warming 1.5∘C under the influence of multiplicative Gaussian noise
Reinforcement learning with dynamic convex risk measures
Learning effective stochastic differential equations from microscopic simulations: linking stochastic numerics to deep learning
Computational solution of stochastic differential equations
On the complexity of strong approximation of stochastic differential equations with a non-Lipschitz drift coefficient
An unconditional boundary and dynamics preserving scheme for the stochastic epidemic model
SDYN-GANs: adversarial learning methods for multistep generative models for general order stochastic dynamics
A new numerical scheme for Itô stochastic differential equations based on Wick-type Wong-Zakai arguments
Sparse identification of nonlinear dynamics for stochastic delay differential equations
Hierarchical model with Allee effect, immigration, and Holling type II functional response
Computing large deviation rate functions of entropy production for diffusion processes by an interacting particle method
Tamed stochastic Runge-Kutta-Chebyshev methods for stochastic differential equations with non-globally Lipschitz coefficients
Schrödinger bridge based deep conditional generative learning
Gaussian approximation of dynamic cavity equations for linearly-coupled stochastic dynamics
Approximate formula for mathematical expectations of a solution of a stochastic differential equation with drift
Pathwise methods for the integration of a stochastic SVIR model
Order-one convergence of the backward Euler method for random periodic solutions of semilinear SDEs
Linear vs standard information for scalar stochastic differential equations
A multiscale hybrid Maxwellian-Monte-Carlo Coulomb collision algorithm for particle simulations
Boundary-preserving Lamperti--Itô--Taylor approximations for some stochastic differential equations

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