7 citations · 11 across the 2 of their papers we have counts for
2 papers
math.NA2019★ 7 cited
Lawson schemes for highly oscillatory stochastic differential equations and conservation of invariants
Kristian Debrabant, Anne Kværnø, Nicky Cordua Mattsson
In this paper, we consider a class of stochastic midpoint and trapezoidal Lawson schemes for the numerical discretization of highly oscillatory stochastic differential equations. T…
math.NA2018★ 4 cited
Weak Antithetic MLMC Estimation of SDEs with the Milstein scheme for Low-Dimensional Wiener Processes
Kristian Debrabant, Azadeh Ghasemifard, Nicky C. Mattsson
In this paper, we implement a weak Milstein Scheme to simulate low-dimensional stochastic differential equations (SDEs). We prove that combining the antithetic multilevel Monte-Car…