The book is devoted to the strong approximation of iterated stochastic integrals (ISIs) in the
context of numerical integration of Ito SDEs and non-commutative semilinear SPDEs with …

The book is devoted to the problem of strong (mean-square) approximation of iterated Ito
and Stratonovich stochastic integrals in the context of numerical integration of Ito stochastic …

The article is devoted to a new proof of the expansion for iterated Itô stochastic integrals with
respect to the components of a multidimensional Wiener process. The above expansion is …

In this paper we present a general procedure for designing higher strong order methods for
linear Itô stochastic differential equations on matrix Lie groups and illustrate this strategy …

The article is devoted to the development of a new approach to the series expansion of
iterated Stratonovich stochastic integrals with respect to components of a …

For the approximation and simulation of twofold iterated stochastic integrals and the
corresponding Lévy areas wrt a multi-dimensional Wiener process, we review four …

In this paper, we first derive Milstein schemes for an interacting particle system associated
with point delay McKean–Vlasov stochastic differential equations, possibly with a drift term …

A new algorithm for the approximation and simulation of twofold iterated stochastic integrals
together with the corresponding Lévy areas driven by a multidimensional Brownian motion …

The work is devoted to a new approach to the series expansion of iterated Stratonovich
stochastic integrals with respect to components of the multidimensional Wiener process …

In this article we construct splitting integrators for a finite-dimensional version of the
stochastic Landau--Lifshitz equation under the influence of global and local energy terms …