High order algorithms for stochastic differential equations. https://epubs.siam.org/doi/abs/10.1137/09076636X https://epubs.siam.org/doi/abs/10.1137/09076636X

High order algorithms for stochastic differential equations. https://epubs.siam.org/doi/abs/10.1137/09076636X https://epubs.siam.org/doi/abs/10.1137/09076636X Somehow, even when things are almost surely not differentiable anywhere, you can develop algorithms which to a higher order (matching some idea of non-differentiable Taylor series) approximate the function. This is a beautiful idea since when you first do deterministic numerical analysis, all of the derivations require differentiability, but now this really expands your idea of what differentiable means.