Improved Euler–Maruyama Method for Numerical Solution of the Itô Stochastic Differential Systems by Composite Previous-Current-Step Idea

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

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

The truncated Euler–Maruyama method for stochastic differential equations

Xuerong Mao · Journal of Computational and Applied Mathematics · 2015 · 273 citations

Numerical Analysis, Engineering, Truncated Euler–maruyama Method +4

Convergence rates of the truncated Euler–Maruyama method for stochastic differential equations

Xuerong Mao · Journal of Computational and Applied Mathematics · 2015 · 151 citations

Numerical Analysis, Engineering, Truncated Euler–maruyama Method +9

Implicit Taylor methods for stiff stochastic differential equations

Tianhai Tian, Kevin Burrage · Applied Numerical Mathematics · 2001 · 93 citations

Numerical Analysis, Semi-implicit Method, Implicit Taylor Methods +2