50 citations · 137 across the 16 of their papers we have counts for
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Algebraic structure of stochastic expansions and efficient simulation
Kurusch Ebrahimi-Fard, Alexander Lundervold, Simon J. A. Malham +2
We investigate the algebraic structure underlying the stochastic Taylor solution expansion for stochastic differential systems.Our motivation is to construct efficient integrators.…
An introduction to SDE simulation
Simon J. A. Malham, Anke Wiese
We outline the basic ideas and techniques underpinning the simulation of stochastic differential equations. In particular we focus on strong simulation and its context. We also pro…
Efficient strong integrators for linear stochastic systems
Gabriel Lord, Simon J. A. Malham, Anke Wiese
We present numerical schemes for the strong solution of linear stochastic differential equations driven by an arbitrary number of Wiener processes. These schemes are based on the N…
Stochastic Lie group integrators
Simon J. A. Malham, Anke Wiese
We present Lie group integrators for nonlinear stochastic differential equations with non-commutative vector fields whose solution evolves on a smooth finite dimensional manifold.…