An introduction to the numerical simulation of stochastic differential equations
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Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Stochastic analysis (60Hxx) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to numerical analysis (65-01) Numerical solutions to stochastic differential and integral equations (65C30)
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Cited in
(39)- Book review of: D. J. Higham and P. E. Kloeden, An introduction to the numerical simulation of stochastic differential equations
- Mean square stability of stochastic theta method for stochastic differential equations driven by fractional Brownian motion
- Destabilising nonnormal stochastic differential equations
- Numerical preservation issues in stochastic dynamical systems by -methods
- On numerical methods to second-order singular initial value problems with additive white noise
- Stability in the small moment sense of the backward Euler-Maruyama method for stochastic differential equations with super-linear coefficients
- THE NUMERICAL SOLUTION OF NONLINEAR STOCHASTIC DYNAMICAL SYSTEMS: A BRIEF INTRODUCTION
- scientific article; zbMATH DE number 1380005 (Why is no real title available?)
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- Numerical Solution of Free Stochastic Differential Equations
- Numerical conservation issues for the stochastic Korteweg-de Vries equation
- The dynamical behavior of a class of stochastic vegetation models
- How do Monte Carlo estimates affect stochastic geometric numerical integration?
- An exponential split-step double balanced Milstein scheme for SODEs with locally Lipschitz continuous coefficients
- Backward error analysis and the qualitative behaviour of stochastic optimization algorithms: application to stochastic coordinate descent
- From zero-mode intermittency to hidden symmetry in random scalar advection
- Improved error estimates for a modified exponential Euler method for the semilinear stochastic heat equation with rough initial data
- Simulation-based inference for stochastic nonlinear mixed-effects models with applications in systems biology
- Solving Fokker-Planck-Kolmogorov equation by distribution self-adaptation normalized physics-informed neural networks
- Dimension-independent L^p convergence rate of propagation of chaos and numerical analysis for McKean-Vlasov stochastic differential equations
- Strong convergence in the infinite horizon of numerical methods for stochastic differential equations
- Sparse identification of nonlinear dynamics for stochastic delay differential equations
- How to beat a Bayesian adversary
- Strong order-one convergence of the Euler method for random ordinary differential equations driven by semi-martingale noises
- Stochastic modeling of viral reproductive cycle: study of viral and cell extinction
- Exploring derivative-free split-step and balanced solvers for Itô stochastic differential equations
- Contractivity of stochastic -methods under non-global Lipschitz conditions
- Diffusion models for generative artificial intelligence: an introduction for applied mathematicians
- Adjoint-based projections for quantifying statistical covariance near stochastically perturbed limit cycles and tori
- A stochastic mobility-driven spatially explicit SEIQRD COVID-19 model with VOCs, seasonality, and vaccines
- A strong order 1.5 boundary preserving discretization scheme for scalar SDEs defined in a domain
- -scheme for solving Caputo fractional differential equations
- Designing selfsimilar diffusions
- On the randomized Euler scheme for stochastic differential equations with integral-form drift
- Numerical approximations to invariant measures of hybrid stochastic differential equations with superlinear coefficients via the backward Euler-Maruyama method
- Stabilization of stochastic Runge-Kutta methods by TASE operators
- Interplay of nonsmoothness, time delay, and stochasticity in turning dynamics
- Unconditionally positivity-preserving explicit order-one strong approximations of financial SDEs with non-Lipschitz coefficients
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