| Publication | Date of Publication | Type |
|---|
Functional differential equations driven by càdlàg rough paths
Electronic Journal of Probability | 2025-09-11 | Paper |
A nonlocal traffic flow model with stochastic velocity
European Series in Applied and Industrial Mathematics (ESAIM): Mathematical Modelling and Numerical Analysis | 2025-01-20 | Paper |
On the convergence order of the Euler scheme for scalar SDEs with Hölder-type diffusion coefficients
Journal of Mathematical Analysis and Applications | 2024-10-29 | Paper |
The weak convergence order of two Euler-type discretization schemes for the log-Heston model
IMA Journal of Numerical Analysis | 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
Jahresbericht der Deutschen Mathematiker-Vereinigung (DMV) | 2022-05-31 | Paper |
The Euler scheme for stochastic differential equations with discontinuous drift coefficient: a numerical study of the convergence rate
Advances in Difference Equations | 2022-05-25 | Paper |
The Euler-Maruyama scheme for SDEs with irregular drift: convergence rates via reduction to a quadrature problem
IMA Journal of Numerical Analysis | 2022-05-17 | Paper |
The Mandelbrot-Van Ness fractional Brownian motion is infinitely differentiable with respect to its Hurst parameter
Discrete and Continuous Dynamical Systems. Series B | 2019-08-28 | Paper |
The Euler-Maruyama Scheme for SDEs with Irregular Drift: Convergence Rates via Reduction to a Quadrature Problem
(available as arXiv preprint) | 2019-04-16 | Paper |
An adaptive Euler-Maruyama scheme for stochastic differential equations with discontinuous drift and its convergence analysis
SIAM Journal on Numerical Analysis | 2019-02-20 | Paper |
Discretising the Heston model: an analysis of the weak convergence rate
IMA Journal of Numerical Analysis | 2018-09-26 | Paper |
Optimal approximation of Skorohod integrals
Journal of Theoretical Probability | 2018-04-20 | Paper |
Asymptotical stability of differential equations driven by Hölder continuous paths
Journal of Dynamics and Differential Equations | 2018-04-16 | Paper |
Exponential stability of stochastic evolution equations driven by small fractional Brownian motion with Hurst parameter in \((1/2,1)\)
Journal of Differential Equations | 2017-11-16 | Paper |
An Euler-type method for the strong approximation of the Cox-Ingersoll-Ross process
Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences | 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
Journal of Complexity | 2016-02-19 | Paper |
The relation between mixed and rough SDEs and its application to numerical methods
Stochastic Analysis and Applications | 2015-10-20 | Paper |
The relation between mixed and rough SDEs and its application to numerical methods
Stochastic Analysis and Applications | 2015-10-20 | Paper |
Constructive Quantization and Multilevel Algorithms for Quadrature of Stochastic Differential Equations
Extraction of Quantifiable Information from Complex Systems | 2015-06-18 | Paper |
Multilevel Monte Carlo quadrature of discontinuous payoffs in the generalized Heston model using Malliavin integration by parts
SIAM Journal on Financial Mathematics | 2015-06-04 | Paper |
An Euler scheme for stochastic delay differential equations on unbounded domains: pathwise convergence
Discrete and Continuous Dynamical Systems. Series B | 2014-12-08 | Paper |
First order strong approximations of scalar SDEs defined in a domain
Numerische Mathematik | 2014-09-09 | Paper |
A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise
Statistical Inference for Stochastic Processes | 2014-05-23 | Paper |
Convergence of numerical methods for stochastic differential equations in mathematical finance
Recent Developments in Computational Finance | 2013-09-24 | Paper |
A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2012-06-04 | Paper |
A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2012-06-04 | Paper |
Multilevel Monte Carlo for stochastic differential equations with additive fractional noise
Annals of Operations Research | 2012-03-08 | Paper |
The pathwise convergence of approximation schemes for stochastic differential equations
LMS Journal of Computation and Mathematics | 2011-09-15 | Paper |
The exponential integrator scheme for stochastic partial differential equations: Pathwise error bounds
Journal of Computational and Applied Mathematics | 2010-11-30 | Paper |
Discretizing the fractional Lévy area
Stochastic Processes and their Applications | 2010-03-01 | Paper |
Asymptotic error distribution of the Euler method for SDEs with non-Lipschitz coefficients
Monte Carlo Methods and Applications | 2010-02-10 | Paper |
Discretization of stationary solutions of stochastic systems driven by fractional Brownian motion
Applied Mathematics and Optimization | 2010-01-18 | Paper |
Delay equations driven by rough paths
Electronic Journal of Probability | 2009-11-20 | Paper |
Delay equations driven by rough paths
Electronic Journal of Probability | 2009-11-20 | Paper |
Delay equations driven by rough paths
Electronic Journal of Probability | 2009-11-20 | Paper |
| Pathwise convergence of numerical schemes for random and stochastic differential equations | 2009-10-26 | Paper |
Trees and asymptotic expansions for fractional stochastic differential equations
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2009-08-24 | Paper |
Synchronization of noisy dissipative systems under discretization
Journal of Difference Equations and Applications | 2009-08-04 | Paper |
Pathwise approximation of stochastic differential equations on domains: Higher order convergence rates without global Lipschitz coefficients
Numerische Mathematik | 2009-05-05 | Paper |
| Synchronization of dissipative systems with additive and linear noise | 2009-01-28 | Paper |
A random Euler scheme for Carathéodory differential equations
Journal of Computational and Applied Mathematics | 2009-01-27 | Paper |
Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion
Stochastic Processes and their Applications | 2009-01-16 | Paper |
Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion
Stochastic Processes and their Applications | 2009-01-16 | Paper |
SYNCHRONIZATION OF SYSTEMS WITH MULTIPLICATIVE NOISE
Stochastics and Dynamics | 2008-08-26 | Paper |
Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion
Journal of Theoretical Probability | 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
Journal of Complexity | 2006-10-05 | Paper |
| scientific article; zbMATH DE number 5042364 (Why is no real title available?) | 2006-07-25 | Paper |
"On the convergence order of the Euler scheme for scalar SDEs with H\""older-type diffusion coefficients"
(available as arXiv preprint) | N/A | Paper |
Functional differential equations driven by c\`adl\`ag rough paths
(available as arXiv preprint) | N/A | Paper |
