Everything about SDES

🧭 Start here: a 6-step reading path

1. Read the overview: SDESA 5-minute orientation
2. Skim a recent paper: Distribution dependent SDEs driven by fractional Brownian motionsInfluential work since 2022
3. Pick up a classic book: Numerical solution of SDE through computer experimentsThe most-reprinted book on the subject
4. Read the landmark paper: Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noiseCited 465 times
5. Go sideways: Session Initiation ProtocolA closely related topic
6. Go sideways: ZRTPA closely related topic

🏆 Landmark papers (most cited)

• Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise

  J.C. Mattingly, A.M. Stuart, D.J. Higham · 2002 · Stochastic Processes and their Applications · 465 citations

• Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients

  Martin Hutzenthaler, Arnulf Jentzen, Peter E. Kloeden · 2012 · The Annals of Applied Probability · 352 citations

• A Maximum Principle for SDEs of Mean-Field Type

  Daniel Andersson, Boualem Djehiche · 2010 · Applied Mathematics & Optimization · 307 citations

• A General Stochastic Maximum Principle for SDEs of Mean-field Type

  Rainer Buckdahn, Boualem Djehiche, Juan Li · 2011 · Applied Mathematics & Optimization · 264 citations

• Distribution dependent SDEs for Landau type equations

  Feng-Yu Wang · 2018 · Stochastic Processes and their Applications · 250 citations

• Wellposedness of second order backward SDEs

  H. Mete Soner, Nizar Touzi, Jianfeng Zhang · 2011 · Probability Theory and Related Fields · 245 citations

• Existence and uniqueness of martingale solutions for SDEs with rough or degenerate coefficients

  Alessio Figalli · 2008 · Journal of Functional Analysis · 181 citations

• A forward scheme for backward SDEs

  Christian Bender, Robert Denk · 2007 · Stochastic Processes and their Applications · 154 citations

🆕 Influential since 2022

• Distribution dependent SDEs driven by fractional Brownian motions

  Xiliang Fan, Xing Huang, Yongqiang Suo · 2022 · Stochastic Processes and their Applications · 51 citations

• Large and Moderate Deviation Principles for McKean-Vlasov SDEs with Jumps

  Wei Liu, Yulin Song, Jianliang Zhai · 2022 · Potential Analysis · 47 citations

• Well-posedness for some non-linear SDEs and related PDE on the Wasserstein space

  Paul-Eric Chaudru de Raynal, Noufel Frikha · 2022 · Journal de Mathématiques Pures et Appliquées · 37 citations

• An adaptive Euler–Maruyama scheme for McKean–Vlasov SDEs with super-linear growth and application to the mean-field FitzHugh–Nagumo model

  Christoph Reisinger, Wolfgang Stockinger · 2022 · Journal of Computational and Applied Mathematics · 36 citations

• Optimal control of path-dependent McKean–Vlasov SDEs in infinite-dimension

  Andrea Cosso, Fausto Gozzi, Idris Kharroubi · 2023 · The Annals of Applied Probability · 33 citations

📚 Books worth reading

• Numerical solution of SDE through computer experimentsPeter E. Kloeden, Peter Eris Kloeden · 1994
• Sde-dge par khaṅ chos mdzod chen moʼi śiṅ par lha ris daṅ deʼi gsal bśadSde-dge par khaṅ., Sde-dge par khaṅ · 2002
• 📕The Ngor Mandalas of TibetBsod-nams-rgya-mtsho, Musashi Tachikawa · 1991
• sde dge par khang gi par shing dkar chag bod rgya shan sbyar1953 karma rgyal mtshan · 2004
• 📕De ge yin jing yuan · 2011
• 📕Sde-dge par khan gi dkar chag zib rgyas su bkod pa ses byai sgo byedSde-dge par khan · 1994
• 📕Dege yin jing yuan · 1981
• 📕Sde dgeʼi bstan ʼgyur gyi dkar chagTshul-khrims-rin-chen Zhu-chen · 1974

Ranked by number of editions on Open Library, a rough measure of how lasting a book is.

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