29 citations · 89 across the 17 of their papers we have counts for
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math.NA2017★ 29 cited
A randomized Milstein method for stochastic differential equations with non-differentiable drift coefficients
Raphael Kruse, Yue Wu
In this paper a drift-randomized Milstein method is introduced for the numerical solution of non-autonomous stochastic differential equations with non-differentiable drift coeffici…
math.NA2017★ 22 cited
Error analysis of randomized Runge-Kutta methods for differential equations with time-irregular coefficients
Raphael Kruse, Yue Wu
This paper contains an error analysis of two randomized explicit Runge-Kutta schemes for ordinary differential equations (ODEs) with time-irregular coefficient functions. In partic…