Runge-Kutta methods for rough differential equations
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Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Rough paths (60L20) Algebraic structures and computation (60L70) Numerical solutions to stochastic differential and integral equations (65C30)
Cites work
- A course on rough paths. With an introduction to regularity structures
- A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion
- B–Series Analysis of Stochastic Runge–Kutta Methods That Use an Iterative Scheme to Compute Their Internal Stage Values
- Convergence rates for the full Gaussian rough paths
- Differential equations driven by Gaussian signals
- Differential equations driven by rough paths. Ecole d'Eté de Probabilités de Saint-Flour XXXIV -- 2004. Lectures given at the 34th probability summer school, July 6--24, 2004.
- Differential Equations Driven by Rough Paths: An Approach via Discrete Approximation
- Differential equations driven by rough signals
- Discretizing the fractional Lévy area
- From rough path estimates to multilevel Monte Carlo
- Geometric Numerical Integration
- Geometric versus non-geometric rough paths
- Hopf algebras, renormalization and noncommutative geometry
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- Multidimensional stochastic processes as rough paths. Theory and applications.
- Order conditions of stochastic Runge--Kutta methods by B-series
- Ramification of rough paths
- Runge–Kutta Methods for the Strong Approximation of Solutions of Stochastic Differential Equations
- Solving linear parabolic rough partial differential equations
- Solving ordinary differential equations. II: Stiff and differential-algebraic problems.
- Symplectic Runge-Kutta methods for Hamiltonian systems driven by Gaussian rough paths
- System Control and Rough Paths
- The Jain-Monrad criterion for rough paths and applications to random Fourier series and non-Markovian Hörmander theory
Cited in
(7)- Pathwise convergence of the Euler scheme for rough and stochastic differential equations
- Stochastic control with signatures
- Lévy areas, Wong-Zakai anomalies in diffusive limits of deterministic Lagrangian multitime dynamics
- Euler scheme for SDEs driven by fractional Brownian motions: integrability and convergence in law
- Scaled quadratic variation for controlled rough paths and parameter estimation of fractional diffusions
- Exact dimension reduction for rough differential equations
- (Empirical) Gramian-based dimension reduction for stochastic differential equations driven by fractional Brownian motion
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