Weak Approximation of Solutions of Systems of Stochastic Differential Equations

Cited in

(61)

Error estimates for the binomial approximation of American put options
PDF model calculations of compressible turbulent flows using smoothed particle hydrodynamics
Convergence rate of Euler scheme for stochastic differential equations: Functionals of solutions
Runge-Kutta methods for Stratonovich stochastic differential equation systems with commutative noise.
A second-order weak approximation of SDEs using a Markov chain without Lévy area simulation
Mean-square stability of second-order Runge-Kutta methods for stochastic differential equations
Numerical simulation of the stochastic Korteweg-de Vries equation
On weak implicit and predictor-corrector methods
The solving of boundary value problems by numerical integration of stochastic equations
Second-order weak approximations for Stratonovich stochastic differential equations
Numerical solution of differential equations with colored noise
The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
A simplified weak simulation method for the probabilistic response analysis of nonlinear random vibration problems
First-order weak balanced schemes for stochastic differential equations
Simplified order 4.0 weak Taylor schemes for additive noise
Approximation for non-smooth functionals of stochastic differential equations with irregular drift
Mean-square \(A\)-stable diagonally drift-implicit integrators of weak second order for stiff Itô stochastic differential equations
On Runge-Kutta-type methods for two-dimensional stochastic differential equations
Continuous weak approximation for stochastic differential equations
Asymptotic mean-square stability of two-step Maruyama schemes for stochastic differential equations
Numerical solution of conservative finite-dimensional stochastic Schrödinger equations
Linear mean-square stability properties of semi-implicit weak order 2.0 Taylor schemes for systems of stochastic differential equations
Cubature methods and applications
Basic concepts of numerical analysis of stochastic differential equations explained by balanced implicit theta methods
Semi-Lagrangian discontinuous Galerkin schemes for some first- and second-order partial differential equations
On Stability of Weak Schemes for Stochastic Differential Systems With One Multiplicative Noise
Optimal explicit stabilized integrator of weak order 1 for stiff and ergodic stochastic differential equations
High order integrator for sampling the invariant distribution of a class of parabolic stochastic PDEs with additive space-time noise
Numerical procedures for sample structures on stochastic differential equations
Rooted Tree Analysis for Order Conditions of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations
On Simulating Wiener Integrals and Their Expectations
Second-order discretization schemes of stochastic differential systems for the computation of the invariant law
Weak convergence of approximate solutions of random equations
A class of second-order Runge-Kutta methods for numerical solution of stochastic differential equations
Exact solutions and doubly efficient approximations of jump-diffusion itô equations
Pathwise convergence rates for numerical solutions of Markovian switching stochastic differential equations
A variance reduction technique for use with the extrapolated Euler method for numerical solution of stochastic differential equations
On the rate of convergence of simple and jump-adapted weak Euler schemes for Lévy driven SDEs
Numerical methods for stochastic simulation: when stochastic integration meets geometric numerical integration
Weak Second Order Explicit Exponential Runge--Kutta Methods for Stochastic Differential Equations
Stochastic modified equations and dynamics of stochastic gradient algorithms. I: Mathematical foundations
Weak approximation of stochastic differential delay equations
Weak Euler scheme for Lévy-driven stochastic differential equations
A stable numerical scheme for stochastic differential equations with multiplicative noise
Issues in the Software Implementation of Stochastic Numerical Runge–Kutta
Efficient Numerical Algorithms for the Generalized Langevin Equation
On the rate of convergence of weak Euler approximation for nondegenerate SDEs driven by Lévy processes
Expansion of the global error for numerical schemes solving stochastic differential equations
Convergence of the random batch method for interacting particles with disparate species and weights
Runge-Kutta methods for numerical solution of stochastic differential equations
Split S-ROCK methods for high-dimensional stochastic differential equations
Higher-order semi-implicit Taylor schemes for Itô stochastic differential equations
On the weak rate of convergence for the Euler-Maruyama scheme with Hölder drift
Weak convergence of the split-step backward Euler method for stochastic delay integro-differential equations
Computer simulations of multiplicative stochastic differential equations
A duality approach for the weak approximation of stochastic differential equations
Multi-colored rooted tree analysis of the weak order conditions of a stochastic Runge-Kutta family
Weak order stochastic Runge-Kutta methods for commutative stochastic differential equations
A survey of numerical methods for stochastic differential equations
Weak first- or second-order implicit Runge-Kutta methods for stochastic differential equations with a scalar Wiener process
Weak forms of the locally transversal linearization (LTL) technique for stochastically driven nonlinear oscillators

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