1. A Stochastic PDE Model for Limit Order Book Dynamics;Cont,2019
2. Stability analysis of split-step θ-Milstein method for a class of n-dimensional stochastic differential equations;Ahmadian;Appl. Math. Comput.,2019
3. Numerical Solution of Stochastic Differential Equations;Kloeden,1992
4. Stochastic Differential Equations and Applications;Mao,1997
5. Stochastic Numerics for Mathematical Physics;Milstein,2004