Existence and uniqueness of the solutions and convergence of semi-implicit Euler methods for stochastic pantograph equations

An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations

Desmond J. Higham · SIAM Review · 2001 · 3K citations

Numerical Analysis, Engineering, Stochastic Processes +14

Stochastic differential equations and applications

Gian‐Carlo Rota · Advances in Mathematics · 1977 · 1.2K citations

Engineering, Stochastic Calculus, Stochastic Dynamical System +3

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

The dynamics of a current collection system for an electric locomotive

J. R. Ockendon, A. B. Tayler · Proceedings of the Royal Society of London A Mathematical and Physical Sciences · 1971 · 518 citations

Mean-Square and Asymptotic Stability of the Stochastic Theta Method

Nicholas J. Higham · SIAM Journal on Numerical Analysis · 2000 · 368 citations

Numerical Analysis, Stochastic Theta Method, Engineering +9