Stability and error analysis of an implicit Milstein finite difference scheme for a two-dimensional Zakai SPDE

Analysis of Multi-Index Monte Carlo Estimators for a Zakai SPDE

(2018) Christoph Reisinger et al.   JOURNAL OF COMPUTATIONAL MATHEMATICS

Stochastic Evolution Equations for Large Portfolios of Stochastic Volatility Models

(2017) Ben Hambly et al.   SIAM Journal on Financial Mathematics

Convergence of the Modified Craig–Sneyd scheme for two-dimensional convection–diffusion equations with mixed derivative term

(2016) Karel J. in ’t Hout et al.   JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

Finite difference schemes for linear stochastic integro-differential equations

(2016) Konstantinos Dareiotis et al.   STOCHASTIC PROCESSES AND THEIR APPLICATIONS

Efficient almost-exact Lévy area sampling

(2014) Simon J.A. Malham et al.   STATISTICS & PROBABILITY LETTERS

Optimal error estimates of Galerkin finite element methods for stochastic partial differential equations with multiplicative noise

(2013) R. Kruse   IMA JOURNAL OF NUMERICAL ANALYSIS

L p and almost sure convergence of a Milstein scheme for stochastic partial differential equations

(2013) Andrea Barth et al.   STOCHASTIC PROCESSES AND THEIR APPLICATIONS

Milstein Approximation for Advection-Diffusion Equations Driven by Multiplicative Noncontinuous Martingale Noises

(2012) Andrea Barth et al.   APPLIED MATHEMATICS AND OPTIMIZATION

Multilevel Monte Carlo method for parabolic stochastic partial differential equations

(2012) Andrea Barth et al.   BIT NUMERICAL MATHEMATICS

Mean-square stability and error analysis of implicit time-stepping schemes for linear parabolic SPDEs with multiplicative Wiener noise in the first derivative

(2012) Christoph Reisinger   INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS

Stochastic Finite Differences and Multilevel Monte Carlo for a Class of SPDEs in Finance

(2012) Michael B. Giles et al.   SIAM Journal on Financial Mathematics

Stochastic Evolution Equations in Portfolio Credit Modelling

(2011) N. Bush et al.   SIAM Journal on Financial Mathematics

Taylor expansions of solutions of stochastic partial differential equations with additive noise

(2010) Arnulf Jentzen et al.   ANNALS OF PROBABILITY

Towards a Systematic Linear Stability Analysis of Numerical Methods for Systems of Stochastic Differential Equations

(2010) Evelyn Buckwar et al.   SIAM JOURNAL ON NUMERICAL ANALYSIS

The Numerical Approximation of Stochastic Partial Differential Equations

(2009) A. Jentzen et al.   Milan Journal of Mathematics

Approximate McKean–Vlasov representations for a class of SPDEs

(2009) Dan Crisan et al.   Stochastics-An International Journal of Probability and Stochastic Processes