Peter E. Kloeden

Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients

Martin Hutzenthaler, Arnulf Jentzen, Peter E. Kloeden · The Annals of Applied Probability · 2012 · 439 citations · Full text

Engineering, Computational Engineering, Differential Equations +14

Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients

Martin Hutzenthaler, Arnulf Jentzen, Peter E. Kloeden · Proceedings of the Royal Society A Mathematical Physical and Engineering Sciences · 2010 · 432 citations · Full text

Natural Sciences, Mathematics, Differential Equations +16

The numerical solution of stochastic differential equations

Peter E. Kloeden, Robert A. Pearson · The Journal of the Australian Mathematical Society Series B Applied Mathematics · 1977 · 265 citations · Full text

Engineering, Computer Science, Differential Equations +10

Numerical methods for nonlinear stochastic differential equations with jumps

Desmond J. Higham, Peter E. Kloeden · Numerische Mathematik · 2005 · 238 citations

Natural Sciences, Physics, Stochastic Modeling +12

The Numerical Approximation of Stochastic Partial Differential Equations

Arnulf Jentzen, Peter E. Kloeden · Milan Journal of Mathematics · 2009 · 160 citations

Natural Sciences, Computational Engineering, Computational Physics +13