We derive a new methodology for the construction of high-order integrators for sampling the
invariant measure of ergodic stochastic differential equations with dynamics constrained on …

As a result of the application of a technique of multistep processes stochastic models
construction the range of models, implemented as a self-consistent differential equations …

B-Series and generalizations are a powerful tool for the analysis of numerical integrators. An
extension named exotic aromatic B-Series was introduced to study the order conditions for …

Physicists generally express the motion of objects in continuous time using differential
equations, whereas the majority of target tracking algorithms use discrete-time models. This …

We consider the problem of Bayesian estimation of static parameters associated to a
partially and discretely observed diffusion process. We assume that the exact transition …

We consider split-step Milstein methods for the solution of stiff stochastic differential
equations with an emphasis on systems driven by multi-channel noise. We show their strong …

We introduce a new algebraic framework based on a modification (called exotic) of aromatic
Butcher-series for the systematic study of the accuracy of numerical integrators for the …

In this paper, we present a framework to construct general stochastic Runge–Kutta Lawson
schemes. We prove that the schemes inherit the consistency and convergence properties of …

In this paper, new weak second-order stochastic Runge–Kutta (SRK) methods for Itô
stochastic differential equations (SDEs) with an m-dimensional Wiener process are …

In this paper, we have considered two classes of second-order balanced stochastic Runge–
Kutta methods to multidimensional Itô stochastic differential equations. The control functions …