activity
20062025
most citedRooted Tree Analysis for Order Conditions of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations

75 citations · 283 across the 17 of their papers we have counts for

collaborators
Showing 2022Show all

1 paper · 1 filter

math.NA2022★ 5 cited

An Analysis of Approximation Algorithms for Iterated Stochastic Integrals and a Julia and MATLAB Simulation Toolbox

Felix Kastner, Andreas Rößler

For the approximation and simulation of twofold iterated stochastic integrals and the corresponding Lévy areas w.r.t. a multi-dimensional Wiener process, we review four algorithms…