| Publication | Date of Publication | Type |
|---|
A derivative-free Milstein type approximation method for SPDEs covering the non-commutative noise case
Stochastic and Partial Differential Equations. Analysis and Computations | 2023-11-30 | Paper |
An analysis of approximation algorithms for iterated stochastic integrals and a Julia and \textsc{Matlab} simulation toolbox
Numerical Algorithms | 2023-04-20 | Paper |
On the approximation and simulation of iterated stochastic integrals and the corresponding Lévy areas in terms of a multidimensional Brownian motion
Stochastic Analysis and Applications | 2022-05-04 | Paper |
Split-step double balanced approximation methods for stiff stochastic differential equations
International Journal of Computer Mathematics | 2022-02-16 | Paper |
An Analysis of Approximation Algorithms for Iterated Stochastic Integrals and a Julia and MATLAB Simulation Toolbox
(available as arXiv preprint) | 2022-01-20 | Paper |
An Analysis of the Milstein Scheme for SPDEs Without a Commutative Noise Condition
Springer Proceedings in Mathematics & Statistics | 2020-08-26 | Paper |
| A Note on Some Martingale Inequalities | 2020-06-29 | Paper |
Iterated stochastic integrals in infinite dimensions: approximation and error estimates
Stochastic and Partial Differential Equations. Analysis and Computations | 2020-01-22 | Paper |
An Analysis of the Milstein Scheme for SPDEs without a Commutative Noise Condition
(available as arXiv preprint) | 2019-10-08 | Paper |
Analysis of multilevel Monte Carlo path simulation using the Milstein discretisation
Discrete and Continuous Dynamical Systems. Series B | 2019-08-28 | Paper |
Enhancing the order of the Milstein scheme for stochastic partial differential equations with commutative noise
SIAM Journal on Numerical Analysis | 2018-08-21 | Paper |
Explicit order 1.5 schemes for the strong approximation of Itô stochastic differential equations
PAMM | 2018-07-26 | Paper |
Coefficients of Runge-Kutta Schemes for Itô Stochastic Differential Equations
PAMM | 2017-01-25 | Paper |
An adaptive discretization algorithm for the weak approximation of stochastic differential equations
PAMM | 2017-01-24 | Paper |
Diagonally drift-implicit Runge-Kutta methods of strong order one for stiff stochastic differential systems
Journal of Computational and Applied Mathematics | 2015-10-19 | Paper |
On the acceleration of the multi-level Monte Carlo method
Journal of Applied Probability | 2015-10-02 | Paper |
On the acceleration of the multi-level Monte Carlo method
Journal of Applied Probability | 2015-10-02 | Paper |
Stability analysis and classification of Runge-Kutta methods for index 1 stochastic differential-algebraic equations with scalar noise
Applied Numerical Mathematics | 2015-08-21 | Paper |
Derivative-free weak approximation methods for stochastic differential equations in finance
Recent Developments in Computational Finance | 2013-09-24 | Paper |
A Runge-Kutta method for index 1 stochastic differential-algebraic equations with scalar noise
BIT | 2012-07-31 | Paper |
Stochastic Runge-Kutta methods for Itô sodes with small noise
SIAM Journal on Scientific Computing | 2011-05-17 | Paper |
Runge–Kutta Methods for the Strong Approximation of Solutions of Stochastic Differential Equations
SIAM Journal on Numerical Analysis | 2011-04-11 | Paper |
Embedded stochastic Runge-Kutta methods
PAMM | 2010-12-15 | Paper |
Strong and weak approximation methods for stochastic differential equations -- some recent developments
Recent Developments in Applied Probability and Statistics | 2010-12-08 | Paper |
Stochastic Taylor Expansions for Functionals of Diffusion Processes
Stochastic Analysis and Applications | 2010-07-20 | Paper |
Second order Runge-Kutta methods for Itô stochastic differential equations
SIAM Journal on Numerical Analysis | 2010-07-13 | Paper |
Numerical simulation of stochastic replicator models in catalyzed RNA-like polymers
Mathematics and Computers in Simulation | 2009-10-01 | Paper |
Trees and asymptotic expansions for fractional stochastic differential equations
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2009-08-24 | Paper |
Diagonally drift-implicit Runge-Kutta methods of weak order one and two for Itô SDEs and stability analysis
Applied Numerical Mathematics | 2009-03-20 | Paper |
Families of efficient second order Runge-Kutta methods for the weak approximation of Itô stochastic differential equations
Applied Numerical Mathematics | 2009-03-20 | Paper |
Continuous Runge-Kutta Methods for Stratonovich Stochastic Differential Equations
Monte Carlo and Quasi-Monte Carlo Methods 2006 | 2008-06-11 | Paper |
Method of lines for stochastic boundary-value problems with additive noise
Applied Mathematics and Computation | 2008-05-16 | Paper |
Classification of stochastic Runge-Kutta methods for the weak approximation of stochastic differential equations
Mathematics and Computers in Simulation | 2008-04-28 | Paper |
Continuous weak approximation for stochastic differential equations
Journal of Computational and Applied Mathematics | 2008-03-26 | Paper |
Second order Runge-Kutta methods for Stratonovich stochastic differential equations
BIT | 2007-10-31 | Paper |
A step size control algorithm for the weak approximation of stochastic differential equations
Numerical Algorithms | 2007-10-16 | Paper |
Runge-Kutta methods for affinely controlled nonlinear systems
Journal of Computational and Applied Mathematics | 2007-06-14 | Paper |
| Trees and asymptotic developments for fractional stochastic differential equations | 2006-11-10 | Paper |
Runge-Kutta methods for Itô stochastic differential equations with scalar noise
BIT | 2006-06-14 | Paper |
Rooted Tree Analysis for Order Conditions of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations
Stochastic Analysis and Applications | 2006-03-14 | Paper |
Stochastic Taylor Expansions for the Expectation of Functionals of Diffusion Processes
Stochastic Analysis and Applications | 2005-01-20 | Paper |
Runge-Kutta methods for Stratonovich stochastic differential equation systems with commutative noise.
Journal of Computational and Applied Mathematics | 2004-03-15 | Paper |
| scientific article; zbMATH DE number 1985655 (Why is no real title available?) | 2003-09-25 | Paper |
| scientific article; zbMATH DE number 1909481 (Why is no real title available?) | 2003-05-13 | Paper |
Adaptive schemes for the numerical solution of SDEs -- a comparison
Journal of Computational and Applied Mathematics | 2002-03-13 | Paper |
| scientific article; zbMATH DE number 1534460 (Why is no real title available?) | 2000-11-21 | Paper |
