Stochastic Numerics for Mathematical Physics

By G. Milstein, M. Tretyakov. Scientific Computation, 2004

431 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/8ecb777dd43ab8443e780ee74e4b8107d334f097

How researchers see this paper

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In Finance

1. David Kristjanson Duvenaud
2. Xuechen Li
3. Ting-Kam Leonard Wong
4. Ricky T. Q. Chen

Citations in the corpus

• Scalable Gradients for Stochastic Differential Equations (2020, methodology): “We refer the reader to [49] for the precise definitions of orders of accuracy and the proof.”
• Itô-Taylor Sampling Scheme for Denoising Diffusion Probabilistic Models using Ideal Derivatives (2021, neutral): “To date, avoiding such pitfalls, a number of RK-type schemes for SDEs have been developed (Pardoux & Talay, 1985; Newton, 1991; Burrage & Burrage, 1998; Tocino & Vigo-Aguiar, 2002; Milstein & Tretyakov, 2004; Rößler, 2006, 2010).”