Mathematics – Numerical Analysis
Scientist
Mathematics
Numerical Analysis
Scientist
A mild Ito formula for SPDEs
A Milstein scheme for SPDEs
Convergence of the stochastic Euler scheme for locally Lipschitz coefficients
Divergence of the multilevel Monte Carlo Euler method for nonlinear stochastic differential equations
Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients
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