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20182024
most citedRare event simulation for stochastic dynamics in continuous time

9 citations · 20 across the 5 of their papers we have counts for

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math.NA2023★ 2 cited

Uniform in time convergence of numerical schemes for stochastic differential equations via Strong Exponential stability: Euler methods, Split-Step and Tamed Schemes

Letizia Angeli, Dan Crisan, Michela Ottobre

We prove a general criterion providing sufficient conditions under which a time-discretiziation of a given Stochastic Differential Equation (SDE) is a uniform in time approximation…