8 citations · 53 across the 24 of their papers we have counts for
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math.NA2018★ 8 cited
Adaptive time-stepping for Stochastic Partial Differential Equations with non-Lipschitz drift
Stuart Campbell, Gabriel Lord
We introduce an explicit, adaptive time-stepping scheme for the simulation of SPDEs with one-sided Lipschitz drift coefficients. Strong convergence rates are proven for the full sp…
math.NA2018
Adaptive Euler methods for stochastic systems with non-globally Lipschitz coefficients
Cónall Kelly, Gabriel Lord
We present strongly convergent explicit and semi-implicit adaptive numerical schemes for systems of stiff stochastic differential equations (SDEs) where both the drift and diffusio…