83 citations · 225 across the 11 of their papers we have counts for
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math.NA2016
Multilevel Monte Carlo and Improved Timestepping Methods in Atmospheric Dispersion Modelling
Grigoris Katsiolides, Eike H. Müller, Robert Scheichl +3
A common way to simulate the transport and spread of pollutants in the atmosphere is via stochastic Lagrangian dispersion models. Mathematically, these models describe turbulent tr…
math.NA2016★ 20 cited
Adaptive Euler-Maruyama Method for SDEs with Non-globally Lipschitz Drift: Part I, Finite Time Interval
Wei Fang, Michael Bryce Giles
This paper proposes an adaptive timestep construction for an Euler-Maruyama approximation of SDEs with a drift which is not globally Lipschitz. It is proved that if the timestep is…