Perret, C.; Petersen, W. P. A weak second-order split-step method for numerical simulations of stochastic differential equations. (English) Zbl 1309.65008 BIT 54, No. 3, 801-821 (2014). Reviewer: Peter Parczewski (Mannheim) MSC: 65C30 34F05 65C05 60H10 60H35 65L20 PDFBibTeX XMLCite \textit{C. Perret} and \textit{W. P. Petersen}, BIT 54, No. 3, 801--821 (2014; Zbl 1309.65008) Full Text: DOI Link
Assaad, F. F.; Corboz, P.; Gull, E.; Petersen, W. P.; Troyer, M.; Werner, P. Gaussian quantum Monte Carlo methods with symmetry projection. (English) Zbl 1096.81020 Batrouni, Ghassan George. (ed.) et al., Effective models for low-dimensional strongly correlated systems, Peyresq, France, September 12–16, 2005. Proceedings of the meeting. Melville, NY: American Institute of Physics (AIP) (ISBN 0-7354-0309-0/hbk). AIP Conference Proceedings 816, 204-231 (2006). MSC: 81S30 65C05 81T80 81R30 37H10 PDFBibTeX XMLCite \textit{F. F. Assaad} et al., AIP Conf. Proc. 816, 204--231 (2006; Zbl 1096.81020)
Buchmann, F. M.; Petersen, W. P. Solving Dirichlet problems numerically using the Feynman-Kac representation. (English) Zbl 1050.65001 BIT 43, No. 3, 519-540 (2003). Reviewer: Eckhard Platen (Broadway) MSC: 65C30 60J65 60H10 60H35 65C05 PDFBibTeX XMLCite \textit{F. M. Buchmann} and \textit{W. P. Petersen}, BIT 43, No. 3, 519--540 (2003; Zbl 1050.65001) Full Text: DOI
Petersen, W. P. A general implicit splitting for stabilizing numerical simulations of Itô stochastic differential equations. (English) Zbl 0914.65144 SIAM J. Numer. Anal. 35, No. 4, 1439-1451 (1998). Reviewer: M.D.Lax (Long Beach) MSC: 65C99 65L20 34F05 60H10 65C05 PDFBibTeX XMLCite \textit{W. P. Petersen}, SIAM J. Numer. Anal. 35, No. 4, 1439--1451 (1998; Zbl 0914.65144) Full Text: DOI
Petersen, W. P. Some experiments on numerical simulations of stochastic differential equations and a new algorithm. (English) Zbl 0807.65148 J. Comput. Phys. 113, No. 1, 75-81 (1994). Reviewer: M.D.Lax (Long Beach) MSC: 65C99 65L05 65L06 34F05 60H10 PDFBibTeX XMLCite \textit{W. P. Petersen}, J. Comput. Phys. 113, No. 1, 75--81 (1994; Zbl 0807.65148) Full Text: DOI
Petersen, W. P. Numerical simulation of Itô stochastic differential equations on supercomputers. (English) Zbl 0632.65145 Random media, IMA Vol. Math. Appl. 7, 215-225 (1987). Reviewer: M.D.Lax MSC: 65C99 65L05 60H10 34F05 65Y05 65C20 PDFBibTeX XML