1.8k citations · 7.5k across the 146 of their papers we have counts for
Showing 2012 · math.PRShow all
2 papers · 2 filters
math.PR2012★ 51 cited
Efficient simulation of nonlinear parabolic SPDEs with additive noise
Arnulf Jentzen, Peter Kloeden, Georg Winkel
Recently, in a paper by Jentzen and Kloeden [Proc. R. Soc. Lond. Ser. A Math. Phys. Eng. Sci. 465 (2009) 649-667], a new method for simulating nearly linear stochastic partial diff…
math.PR2012★ 232 cited
Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients
Martin Hutzenthaler, Arnulf Jentzen
Many stochastic differential equations (SDEs) in the literature have a superlinearly growing nonlinearity in their drift or diffusion coefficient. Unfortunately, moments of the com…