| Publication | Date of Publication | Type |
|---|
On the complexity of strong approximation of stochastic differential equations with a non-Lipschitz drift coefficient
Journal of Complexity | 2024-10-07 | Paper |
Sharp lower error bounds for strong approximation of SDEs with discontinuous drift coefficient by coupling of noise
The Annals of Applied Probability | 2023-06-05 | Paper |
Counterexamples to local Lipschitz and local Hölder continuity with respect to the initial values for additive noise driven stochastic differential equations with smooth drift coefficient functions with at most polynomially growing derivatives
Discrete and Continuous Dynamical Systems. Series B | 2022-10-25 | Paper |
Existence, uniqueness and approximation of solutions of SDEs with superlinear coefficients in the presence of discontinuities of the drift coefficient
| 2022-04-05 | Paper |
A strong order 3/4 method for SDEs with discontinuous drift coefficient
IMA Journal of Numerical Analysis | 2022-01-27 | Paper |
On the strong regularity of degenerate additive noise driven stochastic differential equations with respect to their initial values
Journal of Mathematical Analysis and Applications | 2021-06-14 | Paper |
On the performance of the Euler-Maruyama scheme for SDEs with discontinuous drift coefficient
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2020-05-13 | Paper |
General multilevel adaptations for stochastic approximation algorithms of Robbins-Monro and Polyak-Ruppert type
Numerische Mathematik | 2019-05-02 | Paper |
A strong order $3/4$ method for SDEs with discontinuous drift coefficient
| 2019-04-18 | Paper |
Lower error bounds for strong approximation of scalar SDEs with non-Lipschitzian coefficients
The Annals of Applied Probability | 2019-03-20 | Paper |
A note on strong approximation of SDEs with smooth coefficients that have at most linearly growing derivatives
Journal of Mathematical Analysis and Applications | 2018-08-27 | Paper |
Lower Error Bounds for Strong Approximation of Scalar SDEs with non-Lipschitzian Coefficients
| 2017-10-24 | Paper |
A note on strong approximation of SDEs with smooth coefficients that have at most linearly growing derivatives
| 2017-07-27 | Paper |
On sub-polynomial lower error bounds for quadrature of SDEs with bounded smooth coefficients
Stochastic Analysis and Applications | 2017-05-16 | Paper |
Deterministic quadrature formulas for SDEs based on simplified weak Itô-Taylor steps
Foundations of Computational Mathematics | 2017-03-17 | Paper |
On stochastic differential equations with arbitrary slow convergence rates for strong approximation
Communications in Mathematical Sciences | 2016-11-22 | Paper |
Quadrature for self-affine distributions on \(\mathbb R^d\)
Foundations of Computational Mathematics | 2015-12-04 | Paper |
On the complexity of computing quadrature formulas for SDEs
| 2015-07-22 | Paper |
Constructive Quantization and Multilevel Algorithms for Quadrature of Stochastic Differential Equations
Extraction of Quantifiable Information from Complex Systems | 2015-06-18 | Paper |
On the complexity of computing quadrature formulas for marginal distributions of SDEs
Journal of Complexity | 2014-12-05 | Paper |
A local refinement strategy for constructive quantization of scalar SDEs
Foundations of Computational Mathematics | 2014-03-24 | Paper |
Derandomization of the Euler scheme for scalar stochastic differential equations
Journal of Complexity | 2012-05-07 | Paper |
Deterministic multi-level algorithms for infinite-dimensional integration on \(\mathbb R^{\mathbb N}\)
Journal of Complexity | 2011-06-14 | Paper |
scientific article; zbMATH DE number 5879026 (Why is no real title available?)
| 2011-04-16 | Paper |
Monte Carlo algorithms.
Springer-Lehrbuch | 2011-01-10 | Paper |
Multi-level Monte Carlo algorithms for infinite-dimensional integration on \(\mathbb R^{\mathbb N}\)
Journal of Complexity | 2010-08-03 | Paper |
Variable subspace sampling and multi-level algorithms
Monte Carlo and Quasi-Monte Carlo Methods 2008 | 2010-02-15 | Paper |
Infinite-dimensional quadrature and approximation of distributions
Foundations of Computational Mathematics | 2009-09-02 | Paper |
OPTIMAL POINTWISE APPROXIMATION OF INFINITE-DIMENSIONAL ORNSTEIN–UHLENBECK PROCESSES
Stochastics and Dynamics | 2008-12-11 | Paper |
Minimal Errors for Strong and Weak Approximation of Stochastic Differential Equations
Monte Carlo and Quasi-Monte Carlo Methods 2006 | 2008-06-11 | Paper |
Optimal pointwise approximation of a linear stochastic heat equation with additive space-time white noise
| 2008-06-11 | Paper |
Free-knot spline approximation of stochastic processes
Journal of Complexity | 2008-01-09 | Paper |
Lower bounds and nonuniform time discretization for approximation of stochastic heat equations
Foundations of Computational Mathematics | 2007-12-03 | Paper |
An implicit Euler scheme with non-uniform time discretization for heat equations with multiplicative noise
BIT | 2007-07-19 | Paper |
A modified Milstein scheme for approximation of stochastic delay differential equations with constant time lag
Journal of Computational and Applied Mathematics | 2006-10-25 | Paper |
Optimal pointwise approximation of SDEs based on Brownian motion at discrete points
The Annals of Applied Probability | 2005-03-21 | Paper |
On the global error of Itô--Taylor schemes for strong approximation of scalar stochastic differential equations
Journal of Complexity | 2004-11-23 | Paper |
Step size control for the uniform approximation of systems of stochastic differential equations with additive noise.
The Annals of Applied Probability | 2004-10-27 | Paper |
The optimal uniform approximation of systems of stochastic differential equations
The Annals of Applied Probability | 2003-05-06 | Paper |
Linear vs standard information for scalar stochastic differential equations
Journal of Complexity | 2002-09-30 | Paper |
The optimal discretization of stochastic differential equations
Journal of Complexity | 2001-07-23 | Paper |
Hyperbolic cross designs for approximation of random fields
Journal of Statistical Planning and Inference | 2001-01-11 | Paper |
Optimal approximation of stochastic differential equations by adaptive step-size control
Mathematics of Computation | 2000-05-22 | Paper |
Spatial adaption for predicting random functions
The Annals of Statistics | 1999-12-14 | Paper |
scientific article; zbMATH DE number 1371328 (Why is no real title available?)
| 1999-11-29 | Paper |
A Law of the Iterated Logarithm for Discrete Discrepancies and its Applications to Pseudorandom Vector Sequences
Statistics | 1999-09-29 | Paper |
scientific article; zbMATH DE number 1293608 (Why is no real title available?)
| 1999-05-31 | Paper |
Uniform reconstruction of Gaussian processes
Stochastic Processes and their Applications | 1999-01-14 | Paper |
Optimal designs for approximating the path of a stochastic process
Journal of Statistical Planning and Inference | 1998-02-08 | Paper |
On optimal allocations for estimating the surface of a random field
Metrika | 1997-01-07 | Paper |
Optimal Designs for Approximating a Stochastic Process with Respect to a Minimax Criterion
Statistics | 1996-08-04 | Paper |
On optimal error rates for strong approximation of SDEs with a drift coefficient of fractional Sobolev regularity
| N/A | Paper |
On the complexity of strong approximation of stochastic differential equations with a non-Lipschitz drift coefficient
| N/A | Paper |
