116 citations · 562 across the 17 of their papers we have counts for
4 papers · 1 filter
Two quadrature rules for stochastic Itô-integrals with fractional Sobolev regularity
Monika Eisenmann, Raphael Kruse
In this paper we study the numerical quadrature of a stochastic integral, where the temporal regularity of the integrand is measured in the fractional Sobolev-Slobodeckij norm in $…
On a randomized backward Euler method for nonlinear evolution equations with time-irregular coefficients
Monika Eisenmann, Mihály Kovács, Raphael Kruse +1
In this paper we introduce a randomized version of the backward Euler method, that is applicable to stiff ordinary differential equations and nonlinear evolution equations with tim…
A randomized Milstein method for stochastic differential equations with non-differentiable drift coefficients
Raphael Kruse, Yue Wu
In this paper a drift-randomized Milstein method is introduced for the numerical solution of non-autonomous stochastic differential equations with non-differentiable drift coeffici…
Error analysis of randomized Runge-Kutta methods for differential equations with time-irregular coefficients
Raphael Kruse, Yue Wu
This paper contains an error analysis of two randomized explicit Runge-Kutta schemes for ordinary differential equations (ODEs) with time-irregular coefficient functions. In partic…