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20102026
most citedOptimal Error Estimates of Galerkin Finite Element Methods for Stochastic Partial Differential Equations with Multiplicative Noise

116 citations · 562 across the 17 of their papers we have counts for

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math.NA2015★ 65 cited

Stochastic C-stability and B-consistency of explicit and implicit Milstein-type schemes

Wolf-Jürgen Beyn, Elena Isaak, Raphael Kruse

This paper focuses on two variants of the Milstein scheme, namely the split-step backward Milstein method and a newly proposed projected Milstein scheme, applied to stochastic diff…

math.NA2015★ 49 cited

Mean-square convergence of the BDF2-Maruyama and backward Euler schemes for SDE satisfying a global monotonicity condition

Adam Andersson, Raphael Kruse

In this paper the numerical approximation of stochastic differential equations satisfying a global monotonicity condition is studied. The strong rate of convergence with respect to…