| Publication | Date of Publication | Type |
|---|
B-series for SDEs with application to exponential integrators for non-autonomous semi-linear problems
Journal of Computational Dynamics | 2024-10-09 | Paper |
| B-series for SDEs with application to exponential integrators for non-autonomous semi-linear problems | 2023-10-13 | Paper |
| Exponential Euler method for stiff stochastic differential equations with additive fractional Brownian noise | 2023-08-25 | Paper |
Lawson schemes for highly oscillatory stochastic differential equations and conservation of invariants
BIT | 2022-11-22 | Paper |
Backward differentiation formula finite difference schemes for diffusion equations with an obstacle term
IMA Journal of Numerical Analysis | 2022-05-17 | Paper |
Runge-Kutta Lawson schemes for stochastic differential equations
BIT | 2021-05-19 | Paper |
Study of micro-macro acceleration schemes for linear slow-fast stochastic differential equations with additive noise
BIT | 2020-12-16 | Paper |
Stochastic B-series and order conditions for exponential integrators
(available as arXiv preprint) | 2019-11-26 | Paper |
| Parametric model reduction via interpolating orthonormal bases | 2019-11-26 | Paper |
Analysis of multilevel Monte Carlo path simulation using the Milstein discretisation
Discrete and Continuous Dynamical Systems. Series B | 2019-08-28 | Paper |
On asymptotic global error estimation and control of finite difference solutions for semilinear parabolic equations
Computer Methods in Applied Mechanics and Engineering | 2019-03-26 | Paper |
Weak antithetic MLMC estimation of SDEs with the milstein scheme for low-dimensional Wiener processes
Applied Mathematics Letters | 2019-02-20 | Paper |
Weak Antithetic MLMC Estimation of SDEs with the Milstein scheme for Low-Dimensional Wiener Processes
(available as arXiv preprint) | 2018-11-22 | Paper |
General order conditions for stochastic partitioned Runge-Kutta methods
BIT | 2018-06-26 | Paper |
A micro-macro acceleration method for the Monte Carlo simulation of stochastic differential equations
SIAM Journal on Numerical Analysis | 2017-11-27 | Paper |
Cheap arbitrary high order methods for single integrand SDEs
BIT | 2017-03-02 | 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 |
On the global error of special Runge-Kutta methods applied to linear differential algebraic equations
Applied Mathematics Letters | 2015-05-06 | Paper |
| Semi-Lagrangian schemes for linear and fully non-linear Hamilton-Jacobi-Bellman equations | 2014-03-05 | Paper |
Semi-Lagrangian schemes for parabolic equations
Recent Developments in Computational Finance | 2013-09-24 | Paper |
Derivative-free weak approximation methods for stochastic differential equations in finance
Recent Developments in Computational Finance | 2013-09-24 | Paper |
Semi-Lagrangian schemes for linear and fully non-linear diffusion equations
Mathematics of Computation | 2013-07-23 | Paper |
B-series analysis of iterated Taylor methods
BIT | 2011-10-11 | Paper |
Composition of stochastic B-series with applications to implicit Taylor methods
Applied Numerical Mathematics | 2011-02-14 | Paper |
Runge-Kutta methods for third order weak approximation of SDEs with multidimensional additive noise
BIT | 2010-10-13 | Paper |
| A micro/macro algorithm to accelerate Monte Carlo simulation of stochastic differential equations | 2010-09-20 | Paper |
B–Series Analysis of Stochastic Runge–Kutta Methods That Use an Iterative Scheme to Compute Their Internal Stage Values
SIAM Journal on Numerical Analysis | 2010-03-24 | Paper |
Stochastic Taylor Expansions: Weight Functions of B-Series Expressed as Multiple Integrals
Stochastic Analysis and Applications | 2010-03-19 | 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 |
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 |
Convergence of Runge-Kutta methods applied to linear partial differential-algebraic equations
Applied Numerical Mathematics | 2005-04-21 | Paper |
