Andreas Neuenkirch

Available identifiers

zbMath Open neuenkirch.andreasWikidataQ47010591 ScholiaQ47010591MaRDI QIDQ247388

List of research outcomes

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
Optimal approximation of SDE's with additive fractional noise	2006-10-05	Paper
https://portal.mardi4nfdi.de/entity/Q5479934	2006-07-25	Paper

Research outcomes over time

Doctoral students

No records found.

Known relations from the MaRDI Knowledge Graph

Property	Value
MaRDI profile type	MaRDI person profile
instance of	human

This page was built for person: Andreas Neuenkirch