75 citations · 283 across the 17 of their papers we have counts for
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math.PR2013★ 13 cited
Stochastic Taylor Expansions for Functionals of Diffusion Processes
Andreas Rößler
In the present paper, a stochastic Taylor expansion of some functional applied to the solution process of an Itô or Stratonovich stochastic differential equation with a multi-dimen…
math.PR2013★ 50 cited
Stochastic Taylor expansions for the expectation of functionals of diffusion processes
Andreas Rößler
Stochastic Taylor expansions of the expectation of functionals applied to diffusion processes which are solutions of stochastic differential equation systems are introduced. Taylor…
math.PR2013★ 4 cited
On the Acceleration of the Multi-Level Monte Carlo Method
Kristian Debrabant, Andreas Rößler
The multi-level Monte Carlo method proposed by M. Giles (2008) approximates the expectation of some functionals applied to a stochastic process with optimal order of convergence fo…