75 citations · 283 across the 17 of their papers we have counts for
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Stability Analysis and Classification of Runge-Kutta Methods for Index 1 Stochastic Differential-Algebraic Equations with Scalar Noise
Dominique Küpper, Anne Kværnø, Andreas Rößler
The problem of solving stochastic differential-algebraic equations (SDAEs) of index one with a scalar driving Brownian motion is considered. Recently, the authors proposed a class…
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…
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…
Rooted Tree Analysis for Order Conditions of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations
Andreas Rößler
A general class of stochastic Runge-Kutta methods for the weak approximation of Itô and Stratonovich stochastic differential equations with a multi-dimensional Wiener process is in…
Families of efficient second order Runge-Kutta methods for the weak approximation of Itô stochastic differential equations
Kristian Debrabant, Andreas Rößler
Recently, a new class of second order Runge-Kutta methods for Itô stochastic differential equations with a multidimensional Wiener process was introduced by Rößler. In contrast to…
Classification of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations
Kristian Debrabant, Andreas Rößler
In the present paper, a class of stochastic Runge-Kutta methods containing the second order stochastic Runge-Kutta scheme due to E. Platen for the weak approximation of Itô stochas…