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Lamba, H., Mattingly, J.C. and Stuart, A. (2007) An Adaptive Euler-Maruyama Scheme for SDEs, Convergence and Stability. IMA Journal of Numerical Analysis, 27, 479-506.
http://dx.doi.org/10.1093/imanum/drl032

has been cited by the following article:

• TITLE: Mean Square Heun’s Method Convergent for Solving Random Differential Initial Value Problems of First Order

  AUTHORS: M. A. Sohaly

  KEYWORDS: Stochastic Partial Differential Equations, Mean Square Sense, Second Order Random Variable,

  JOURNAL NAME: American Journal of Computational Mathematics, Vol.4 No.5, December 29, 2014

  ABSTRACT: This paper deals with the construction of Heun’s method of random initial value problems. Sufficient conditions for their mean square convergence are established. Main statistical properties of the approximations processes are computed in several illustrative examples.