104 citations · 382 across the 27 of their papers we have counts for
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Weak Antithetic MLMC Estimation of SDEs with the Milstein scheme for Low-Dimensional Wiener Processes
Kristian Debrabant, Azadeh Ghasemifard, Nicky C. Mattsson
In this paper, we implement a weak Milstein Scheme to simulate low-dimensional stochastic differential equations (SDEs). We prove that combining the antithetic multilevel Monte-Car…
Study of micro-macro acceleration schemes for linear slow-fast stochastic differential equations with additive noise
Kristian Debrabant, Giovanni Samaey, Przemysław Zieliński
Computational multi-scale methods capitalize on a large time-scale separation to efficiently simulate slow dynamics over long time intervals. For stochastic systems, one often aims…
Backward Differentiation Formula finite difference schemes for diffusion equations with an obstacle term
Olivier Bokanowski, Kristian Debrabant
Finite difference schemes, using Backward Differentiation Formula (BDF), are studied for the approximation of one-dimensional diffusion equations with an obstacle term, of the form…
Stochastic B-series and order conditions for exponential integrators
Alemayehu Adugna Arara, Kristian Debrabant, Anne Kværnø
We discuss stochastic differential equations with a stiff linear part and their approximation by stochastic exponential integrators. Representing the exact and approximate solution…