| Publication | Date of Publication | Type |
|---|
| The weak convergence order of two Euler-type discretization schemes for the log-Heston model | 2024-02-06 | Paper |
| The order barrier for the $L^1$-approximation of the log-Heston SDE at a single point | 2022-12-14 | Paper |
| Sharp $L^1$-Approximation of the log-Heston SDE by Euler-type methods | 2022-06-07 | Paper |
| Book review of: D. Higham and P. Kloeden, An introduction to the numerical simulation of stochastic differential equations | 2022-05-31 | Paper |
| The Euler scheme for stochastic differential equations with discontinuous drift coefficient: a numerical study of the convergence rate | 2022-05-25 | Paper |
| The Euler–Maruyama scheme for SDEs with irregular drift: convergence rates via reduction to a quadrature problem | 2022-05-17 | Paper |
| The Mandelbrot-Van Ness fractional Brownian motion is infinitely differentiable with respect to its Hurst parameter | 2019-08-28 | Paper |
| The Euler-Maruyama Scheme for SDEs with Irregular Drift: Convergence Rates via Reduction to a Quadrature Problem | 2019-04-16 | Paper |
| An Adaptive Euler--Maruyama Scheme for Stochastic Differential Equations with Discontinuous Drift and its Convergence Analysis | 2019-02-20 | Paper |
| Discretising the Heston model: an analysis of the weak convergence rate | 2018-09-26 | Paper |
| Optimal approximation of Skorohod integrals | 2018-04-20 | Paper |
| Asymptotical stability of differential equations driven by Hölder continuous paths | 2018-04-16 | Paper |
| Exponential stability of stochastic evolution equations driven by small fractional Brownian motion with Hurst parameter in \((1/2,1)\) | 2017-11-16 | Paper |
| An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process | 2017-06-07 | Paper |
| The Order Barrier for Strong Approximation of Rough Volatility Models | 2016-06-13 | Paper |
| The maximum rate of convergence for the approximation of the fractional Lévy area at a single point | 2016-02-19 | Paper |
| The Relation Between Mixed and Rough SDEs and Its Application to Numerical Methods | 2015-10-20 | Paper |
| Constructive Quantization and Multilevel Algorithms for Quadrature of Stochastic Differential Equations | 2015-06-18 | Paper |
| Multilevel Monte Carlo Quadrature of Discontinuous Payoffs in the Generalized Heston Model Using Malliavin Integration by Parts | 2015-06-04 | Paper |
| An Euler scheme for stochastic delay differential equations on unbounded domains: pathwise convergence | 2014-12-08 | Paper |
| First order strong approximations of scalar SDEs defined in a domain | 2014-09-09 | Paper |
| A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise | 2014-05-23 | Paper |
| Convergence of numerical methods for stochastic differential equations in mathematical finance | 2013-09-24 | Paper |
| A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion | 2012-06-04 | Paper |
| Multilevel Monte Carlo for stochastic differential equations with additive fractional noise | 2012-03-08 | Paper |
| The Pathwise Convergence of Approximation Schemes for Stochastic Differential Equations | 2011-09-15 | Paper |
| The exponential integrator scheme for stochastic partial differential equations: Pathwise error bounds | 2010-11-30 | Paper |
| Discretizing the fractional Lévy area | 2010-03-01 | Paper |
| Asymptotic error distribution of the Euler method for SDEs with non-Lipschitz coefficients | 2010-02-10 | Paper |
| Discretization of stationary solutions of stochastic systems driven by fractional Brownian motion | 2010-01-18 | Paper |
| Delay equations driven by rough paths | 2009-11-20 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3639870 | 2009-10-26 | Paper |
| Trees and asymptotic expansions for fractional stochastic differential equations | 2009-08-24 | Paper |
| Synchronization of noisy dissipative systems under discretization | 2009-08-04 | Paper |
| Pathwise approximation of stochastic differential equations on domains: Higher order convergence rates without global Lipschitz coefficients | 2009-05-05 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5506134 | 2009-01-28 | Paper |
| A random Euler scheme for Carathéodory differential equations | 2009-01-27 | Paper |
| Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion | 2009-01-16 | Paper |
| SYNCHRONIZATION OF SYSTEMS WITH MULTIPLICATIVE NOISE | 2008-08-26 | Paper |
| Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion | 2008-02-18 | Paper |
| Trees and asymptotic developments for fractional stochastic differential equations | 2006-11-10 | Paper |
| Optimal approximation of SDE's with additive fractional noise | 2006-10-05 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5479934 | 2006-07-25 | Paper |
| "On the convergence order of the Euler scheme for scalar SDEs with H\""older-type diffusion coefficients" | 0001-01-03 | Paper |
| Functional differential equations driven by c\`adl\`ag rough paths | 0001-01-03 | Paper |
