Numerical solutions of stochastic differential delay equations under local Lipschitz condition

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

Stability Analysis of Numerical Schemes for Stochastic Differential Equations

Yoshihiro Saito, Taketomo Mitsui · SIAM Journal on Numerical Analysis · 1996 · 369 citations

Natural Sciences, Computational Engineering, Dynamical Systems +14

An introduction to numerical methods for stochastic differential equations

Eckhard Platen · Acta Numerica · 1999 · 273 citations

Natural Sciences, Mathematics, Differential Equations +15

Introduction to the numerical analysis of stochastic delay differential equations

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Engineering, Computational Engineering, Mathematics +14

Numerical Analysis of Explicit One-Step Methods for Stochastic Delay Differential Equations

Christopher Baker, Evelyn Buckwar · LMS Journal of Computation and Mathematics · 2000 · 169 citations · Full text

Engineering, Mathematics, Differential Equations +15