activity
20092026
most citedSemi-Lagrangian schemes for linear and fully non-linear diffusion equations

104 citations · 382 across the 27 of their papers we have counts for

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Showing 2015 · math.NAShow all

2 papers · 2 filters

math.NA2015★ 7 cited

Cheap arbitrary high order methods for single integrand SDEs

Kristian Debrabant, Anne Kværnø

For a particular class of Stratonovich SDE problems, here denoted as single integrand SDEs, we prove that by applying a deterministic Runge-Kutta method of order we obtain me…

math.NA2015★ 18 cited

A micro-macro acceleration method for the Monte Carlo simulation of stochastic differential equations

Kristian Debrabant, Giovanni Samaey, Przemysław Zieliński

We present and analyse a micro-macro acceleration method for the Monte Carlo simulation of stochastic differential equations with separation between the (fast) time-scale of indivi…