scientific article; zbMATH DE number 3839062

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Multiple stochastic integrals with Mathematica
Higher-order implicit strong numerical schemes for stochastic differential equations
General order conditions for stochastic Runge-Kutta methods for both commuting and non-commuting stochastic ordinary differential equation systems
New Itô--Taylor expansions
On explicit order 1.5 approximations with varying coefficients: the case of super-linear diffusion coefficients
On numerical modeling of the multidimensional dynamic systems under random perturbations with the 1.5 and 2.0 orders of strong convergence
Development and application of the Fourier method for the numerical solution of Ito stochastic differential equations
A comparative analysis of efficiency of using the Legendre polynomials and trigonometric functions for the numerical solution of Ito stochastic differential equations
On numerical modeling of the multidimentional dynamic systems under random perturbations with the 2.5 order of strong convergence
Higher order Langevin Monte Carlo algorithm
Simplified order 4.0 weak Taylor schemes for additive noise
Word combinatorics for stochastic differential equations: splitting integrators
Geometric Euler-Maruyama schemes for stochastic differential equations in \(\mathrm{SO}(n)\) and \(\mathrm{SE}(n)\)
Cubature methods and applications
The improved split-step θ methods for stochastic differential equation
Numerical solution of stochastic differential equations in finance
scientific article; zbMATH DE number 7318972 (Why is no real title available?)
scientific article; zbMATH DE number 7627965 (Why is no real title available?)
Mean-square approximation of iterated Ito and Stratonovich stochastic integrals: method of generalized multiple Fourier series. Application to numerical integration of Ito SDEs and semilinear SPDEs
Expansion of iterated Stratonovich stochastic integrals based on generalized multiple Fourier series
Modifying the split-step -method with harmonic-mean term for stochastic differential equations
Modified Euler scheme for the weak approximation of stochastic differential equations driven by the Wiener process
Algebraic structures and stochastic differential equations driven by Lévy processes
scientific article; zbMATH DE number 7644507 (Why is no real title available?)
High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations
Mean-square approximation of iterated Ito and Stratonovich stochastic integrals: method of generalized multiple Fourier series. Application to numerical integration of Ito SDEs and semilinear SPDEs
Higher-order semi-implicit Taylor schemes for Itô stochastic differential equations
A new approach to the series expansion of iterated Stratonovich stochastic integrals with respect to components of a multidimensional Wiener process. The case of arbitrary complete orthonormal systems in Hilbert space
Insurance claims modulated by a hidden Brownian marked point process
Computational solution of stochastic differential equations
A new approach to the series expansion of iterated Stratonovich stochastic integrals with respect to components of a multidimensional Wiener process. The case of arbitrary complete orthonormal systems in Hilbert space. II
Trees and asymptotic expansions for fractional stochastic differential equations
A survey of numerical methods for stochastic differential equations

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