The law of the Euler scheme for stochastic differential equations

Stochastic Differential Equations and Diffusion Processes

Gopinath Kallianpur, Nobuyuki Ikeda, Shinzo Watanabe · Technometrics · 1983 · 3.9K citations

Engineering, Mathematics, Differential Equations +11

Stochastic differential equations and diffusion processes

L. C. G. Rogers · European Journal of Operational Research · 1982 · 1.3K citations

Engineering, Mathematics, Differential Equations +11

Expansion of the global error for numerical schemes solving stochastic differential equations

Denis Talay, Luciano Tubaro · Stochastic Analysis and Applications · 1990 · 573 citations · Full text

Engineering, Mathematics, Probability Theory +16

Applications of the Malliavin calculus. II

Seiichiro Kusuoka, D. W. Stroock · Institutional Repositories DataBase (IRDB) · 1985 · 389 citations · Full text

Natural Sciences, Mathematics, Applied Mathematics +10

A Method of Second-Order Accuracy Integration of Stochastic Differential Equations

G.N. Mil'shtein · Theory of Probability and Its Applications · 1979 · 256 citations

Natural Sciences, Physics, Differential Equations +13