Second-order weak approximations for stratonovich stochastic differential equations

Solving ordinary differential equations I. nonstiff problems

Ernst Hairer, Gerhard Wanner · Mathematics and Computers in Simulation · 1987 · 4.1K citations · Full text

Natural Sciences, Mathematics, Computational Mechanics +9

The Numerical Analysis of Ordinary Differential Equations; Runge-Kutta and General Linear Methods.

Kenneth R. Jackson, J. C. Butcher · Mathematics of Computation · 1988 · 1.1K citations

Natural Sciences, Mathematics, Computational Mechanics +11

Numerical Treatment of Stochastic Differential Equations

W. Rüemelin · SIAM Journal on Numerical Analysis · 1982 · 405 citations

Engineering, Physics, Computational Mechanics +12

A Method of Second-Order Accuracy Integration of Stochastic Differential Equations

G.N. Mil'shtein · Theory of Probability and Its Applications · 1979 · 256 citations

Natural Sciences, Physics, Differential Equations +13

Weak Approximation of Solutions of Systems of Stochastic Differential Equations

G.N. Mil'shtein · Theory of Probability and Its Applications · 1986 · 98 citations

Engineering, Mathematics, Dynamical Systems +16