Higher-order adaptive methods for exit times of Itô diffusions

Simplest random walk for approximating Robin boundary value problems and ergodic limits of reflected diffusions

(2023) Benedict Leimkuhler et al.   ANNALS OF APPLIED PROBABILITY

A posteriori error analysis and adaptivity for high-dimensional elliptic and parabolic boundary value problems

(2023) Fabian Merle et al.   NUMERISCHE MATHEMATIK

The software design of Gridap: A Finite Element package based on the Julia JIT compiler

(2022) Francesc Verdugo et al.   COMPUTER PHYSICS COMMUNICATIONS

An adaptive strong order 1 method for SDEs with discontinuous drift coefficient

(2022) Larisa Yaroslavtseva   JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

Pricing American options by exercise rate optimization

(2020) Christian Bayer et al.   QUANTITATIVE FINANCE

An Adaptive Euler--Maruyama Scheme for Stochastic Differential Equations with Discontinuous Drift and its Convergence Analysis

(2019) Andreas Neuenkirch et al.   SIAM JOURNAL ON NUMERICAL ANALYSIS

Central limit theorems for multilevel Monte Carlo methods

(2019) Håkon Hoel et al.   JOURNAL OF COMPLEXITY

Multilevel Monte Carlo and improved timestepping methods in atmospheric dispersion modelling

(2018) Grigoris Katsiolides et al.   JOURNAL OF COMPUTATIONAL PHYSICS

An Implementation of Milstein’s Method for General Bounded Diffusions

(2018) Francisco Bernal   JOURNAL OF SCIENTIFIC COMPUTING

Adaptive time-stepping strategies for nonlinear stochastic systems

(2017) Cónall Kelly et al.   IMA JOURNAL OF NUMERICAL ANALYSIS

The walk on moving spheres: A new tool for simulating Brownian motion’s exit time from a domain

(2017) M. Deaconu et al.   MATHEMATICS AND COMPUTERS IN SIMULATION

Mean Exit Times and the Multilevel Monte Carlo Method

(2013) Desmond J. Higham et al.   SIAM-ASA Journal on Uncertainty Quantification

Stopped diffusion processes: Boundary corrections and overshoot

(2009) Emmanuel Gobet et al.   STOCHASTIC PROCESSES AND THEIR APPLICATIONS