Stochastic differential algebraic equations of index 1 and applications in circuit simulation

Brownian Motion and Stochastic Calculus.

Richard L. Dykstra, Ioannis Karatzas, Steven E. Schreve · Journal of the American Statistical Association · 1989 · 945 citations

Engineering, Stochastic Processes, Stochastic Calculus +7

Survey of the stability of linear finite difference equations

Peter D. Lax, Robert D. Richtmyer · Communications on Pure and Applied Mathematics · 1956 · 787 citations

Numerical Stability, System Stability, Stability Analysis +1

Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations

Desmond J. Higham, Xuerong Mao, Andrew M. Stuart · SIAM Journal on Numerical Analysis · 2002 · 648 citations

Numerical Analysis, Engineering, Diffusion Coefficient +11

Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise

Jonathan C. Mattingly, Andrew M. Stuart, Desmond J. Higham · Stochastic Processes and their Applications · 2002 · 542 citations · Full text

Engineering, Entropy, Stochastic Processes +8

An introduction to numerical methods for stochastic differential equations

Eckhard Platen · Acta Numerica · 1999 · 271 citations

Numerical Analysis, Engineering, Stochastic System +8