104 citations · 382 across the 27 of their papers we have counts for
Showing 2010Show all
3 papers · 1 filter
math.NA2010
A micro/macro algorithm to accelerate Monte Carlo simulation of stochastic differential equations
Kristian Debrabant, Giovanni Samaey
We present and analyze a micro/macro acceleration technique for the Monte Carlo simulation of stochastic differential equations (SDEs) in which there is a separation between the (f…
math.NA2010★ 6 cited
Stochastic B-series analysis of iterated Taylor methods
Kristian Debrabant, Anne Kværnø
For stochastic implicit Taylor methods that use an iterative scheme to compute their numerical solution, stochastic B--series and corresponding growth functions are constructed. Fr…
math.NA2010★ 9 cited
Composition of stochastic B-series with applications to implicit Taylor methods
Kristian Debrabant, Anne Kværnø
In this article, we construct a representation formula for stochastic B-series evaluated in a B-series. This formula is used to give for the first time the order conditions of impl…