Adaptive schemes for the numerical solution of SDEs—a comparison

Stochastic Differential Equations: An Introduction with Applications.

Saul Jacka, Bernt Øksendal · Journal of the American Statistical Association · 1987 · 4.1K citations

Engineering, Finance, Mathematics +17

Stochastic Differential Equations—An Introduction With Applications

IEEE Transactions on Automatic Control · 2006 · 1.7K citations

Engineering, Mathematics, Differential Equations +11

Order Conditions of Stochastic Runge--Kutta Methods by <i>B</i>-Series

Kevin Burrage, Pamela Burrage · SIAM Journal on Numerical Analysis · 2000 · 164 citations

Engineering, Mathematics, Differential Equations +13

Variable Step Size Control in the Numerical Solution of Stochastic Differential Equations

J. G. Gaines, Terry Lyons · SIAM Journal on Applied Mathematics · 1997 · 150 citations

Engineering, Computational Engineering, Stochastic Modeling +16

The Optimal Discretization of Stochastic Differential Equations

Norbert Hofmann, Thomas Müller-Gronbach, Klaus Ritter · Journal of Complexity · 2001 · 72 citations

Engineering, Mathematics, Stochastic Modeling +12