Preserving positivity in solutions of discretised stochastic differential equations

The Art of Computer Programming. Volume 2: Seminumerical Algorithms.

Olga Taussky, Donald E. Knuth · American Mathematical Monthly · 1970 · 3.9K citations

Computing, Computer Science, Mathematics +13

Brownian motion and stochastic calculus

Jan Seidler · Acta Applicandae Mathematicae · 1991 · 2.2K citations

Engineering, Mathematics, Physics +14

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 · 661 citations

Engineering, Mathematics, Probability Theory +13

Table errata: The art of computer programming, Vol. 2: Seminumerical algorithms (Addison-Wesley, Reading, Mass., 1969) by Donald E. Knuth

J. W. Wrench · Mathematics of Computation · 1970 · 484 citations · Full text

Computing, Computer Science, Mathematics +6

Mean-Square and Asymptotic Stability of the Stochastic Theta Method

SIAM Journal on Numerical Analysis · 2000 · 378 citations

Engineering, Mathematics, Dynamical Systems +16