Many stochastic differential equations (SDEs) in the literature have a superlinearly growing nonlinearity in their drift or diffusion coefficient. Unfortunately

This book presents the refereed proceedings of the Twelfth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing that wa

Exact Finite-Difference Schemes is a first overview of the topic also describing the state-of-the-art in this field of numerical analysis. Construction of exact

This book covers numerical methods for stochastic partial differential equations with white noise using the framework of Wong-Zakai approximation. The book begi

This textbook provides the first systematic presentation of the theory of stochastic differential equations with Markovian switching. It presents the basic prin