Pages that link to "Item:Q1203152"

The following pages link to Higher-order implicit strong numerical schemes for stochastic differential equations (Q1203152):

Displaying 50 items.

• One order numerical scheme for forward-backward stochastic differential equations (Q1732180) (← links)
• On explicit local solutions of Itô diffusions (Q1733803) (← links)
• Solving system of linear Stratonovich Volterra integral equations via modification of hat functions (Q1737157) (← links)
• On a one time-step Monte Carlo simulation approach of the SABR model: application to European options (Q1737183) (← links)
• A new delta expansion for multivariate diffusions via the Itô-Taylor expansion (Q1740295) (← links)
• Monte-Carlo algorithms for a forward Feynman-Kac-type representation for semilinear nonconservative partial differential equations (Q1746430) (← links)
• Convergence rate and stability of the truncated Euler-Maruyama method for stochastic differential equations (Q1747313) (← links)
• The projected explicit Itô-Taylor methods for stochastic differential equations under locally Lipschitz conditions and polynomial growth conditions (Q1757364) (← links)
• A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise (Q1759581) (← links)
• Stable strong order 1.0 schemes for solving stochastic ordinary differential equations (Q1759582) (← links)
• Spectral collocation method for stochastic Burgers equation driven by additive noise (Q1761626) (← links)
• Mean-square stability of second-order Runge-Kutta methods for stochastic differential equations (Q1765478) (← links)
• Numerical simulation of stochastic PDEs for excitable media (Q1765486) (← links)
• Stochastic adsorption--desorption problem for mass-spring systems in the nanotechnology (Q1774820) (← links)
• Ermakov systems with multiplicative noise (Q1782672) (← links)
• Kolmogorov equations and weak order analysis for SPDEs with nonlinear diffusion coefficient (Q1791739) (← links)
• A stochastic model of IndoPacific sea surface temperature anomalies (Q1816839) (← links)
• Numerical solutions of stochastic differential equations -- implementation and stability issues (Q1841953) (← links)
• Introduction to the numerical analysis of stochastic delay differential equations (Q1841963) (← links)
• Numerical solutions of stochastic differential delay equations under local Lipschitz condition (Q1861323) (← links)
• Variance reduction for Monte Carlo simulation of stochastic environmental models (Q1861685) (← links)
• Stochastically stable one-step approximations of solutions of stochastic ordinary differential equations (Q1861961) (← links)
• Variance reduction for simulated diffusions using control variates extracted from state space evaluations (Q1861991) (← links)
• Stability of random attractors under perturbation and approximation (Q1867241) (← links)
• Estimating stochastic volatility diffusion using conditional moments of integrated volatility (Q1867730) (← links)
• Pathwise stochastic Taylor expansions and stochastic viscosity solutions for fully nonlinear stochastic PDEs (Q1872289) (← links)
• Numerical integration of stochastic differential equations: weak second-order mid-point scheme for application in the composition PDF method. (Q1873366) (← links)
• Comment on the article ''An effective particle tracing scheme on structured/unstructured grids in hybrid finite volume/PDF Monte Carlo methods'' by Li and Modest (Q1873395) (← links)
• Convergence of the Euler scheme for stochastic functional partial differential equations (Q1883553) (← links)
• A computational strategy for multiscale systems with applications to Lorenz 96 model (Q1887751) (← links)
• Simultaneous time and chance discretization for stochastic differential equations (Q1899957) (← links)
• Approximations for stochastic differential equations with reflecting convex boundaries (Q1904549) (← links)
• Automated first and second order moment equations for a set of stochastic differential equations of type \({\mathbf A}\dot{\mathbf Z} + {\mathbf {BZ}} = {\mathbf C}(t)\) (Q1904837) (← links)
• Controlled diffusion processes with Markovian switchings for modeling dynamical engineering systems (Q1926896) (← links)
• Brownian meanders, importance sampling and unbiased simulation of diffusion extremes (Q1939714) (← links)
• A stochastic differential equation code for multidimensional Fokker-Planck type problems (Q1948850) (← links)
• The existence of a positive solution for a generalized delay logistic equation with multifractional noise (Q1950777) (← links)
• Finite elements for stochastic media problems (Q1965186) (← links)
• Absorbing boundaries and optimal stopping in a stochastic differential equation (Q1967100) (← links)
• Optimal control for estimation in partially observed elliptic and hypoelliptic linear stochastic differential equations (Q1984647) (← links)
• Approximation of Euler-Maruyama for one-dimensional stochastic differential equations involving the maximum process (Q1985372) (← links)
• Asymptotic error distribution for the Euler scheme with locally Lipschitz coefficients (Q1986026) (← links)
• Truncated Euler-Maruyama method for classical and time-changed non-autonomous stochastic differential equations (Q1986138) (← links)
• Uncertainty estimation in equality-constrained MAP and maximum likelihood estimation with applications to system identification and state estimation (Q1987286) (← links)
• Explicit pseudo-symplectic methods based on generating functions for stochastic Hamiltonian systems (Q1989199) (← links)
• Asian and Australian options: a common perspective (Q1994236) (← links)
• Numerical solution of stochastic integral equations by using Bernoulli operational matrix (Q1997661) (← links)
• Stochastic elasticity of vol-of-vol and pricing of variance swaps (Q1998119) (← links)
• On the MS-stability of predictor-corrector schemes for stochastic differential equations (Q1998273) (← links)
• A stochastic diffusion process based on the Lundqvist-Korf growth: computational aspects and simulation (Q1998349) (← links)