Stochastic C-Stability and B-Consistency of Explicit and Implicit Milstein-Type Schemes

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

Approximate Integration of Stochastic Differential Equations

G. N. Mil’shtejn · Theory of Probability and Its Applications · 1975 · 486 citations

Numerical Analysis, Stochastic Simulation, Large Deviations +14

Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients

Martin Hutzenthaler, Arnulf Jentzen, Peter E. Kloeden · The Annals of Applied Probability · 2012 · 431 citations · Full text

Numerical Analysis, Engineering, Natural Sciences +14

Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients

Martin Hutzenthaler, Arnulf Jentzen, Peter E. Kloeden · Proceedings of the Royal Society A Mathematical Physical and Engineering Sciences · 2010 · 413 citations · Full text

Numerical Analysis, Weak Divergence, Lipschitz Continuous Drift +14

RANDOM DYNAMICAL SYSTEMS (Springer Monographs in Mathematics)

K. D. Elworthy · Bulletin of the London Mathematical Society · 2000 · 261 citations

Engineering, Stochastic Analysis, Stochastic Phenomenon +18