Runge–Kutta Methods for Itô Stochastic Differential Equations with Scalar Noise

By Andreas Rössler. 2006

75 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/f9513df540805653fde429b7b02aeb962bc9f12e

Citations in the corpus

• Itô-Taylor Sampling Scheme for Denoising Diffusion Probabilistic Models using Ideal Derivatives (2021, unknown): “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).”
• Applied Stochastic Differential Equations (2019, unknown): “Rößler (2009) considers a general class of multidimensional weak order”