5 citations · 5 across the 1 of their papers we have counts for
2 papers
math.NA2025
Milstein-type Schemes for Hyperbolic SPDEs
Felix Kastner, Katharina Klioba
This article studies the temporal approximation of hyperbolic semilinear stochastic evolution equations with multiplicative Gaussian noise by Milstein-type schemes. We take the ter…
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…