The following pages link to Andreas Neuenkirch (Q247388):
Displayed 44 items.
- (Q424707) (redirect page) (← links)
- A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion (Q424708) (← links)
- An Euler scheme for stochastic delay differential equations on unbounded domains: pathwise convergence (Q480025) (← links)
- The exponential integrator scheme for stochastic partial differential equations: Pathwise error bounds (Q609211) (← links)
- Multilevel Monte Carlo for stochastic differential equations with additive fractional noise (Q666368) (← links)
- First order strong approximations of scalar SDEs defined in a domain (Q740810) (← links)
- Trees and asymptotic expansions for fractional stochastic differential equations (Q838310) (← links)
- Discretization of stationary solutions of stochastic systems driven by fractional Brownian motion (Q843959) (← links)
- Pathwise approximation of stochastic differential equations on domains: Higher order convergence rates without global Lipschitz coefficients (Q1016225) (← links)
- Delay equations driven by rough paths (Q1039079) (← links)
- Exponential stability of stochastic evolution equations driven by small fractional Brownian motion with Hurst parameter in \((1/2,1)\) (Q1680464) (← links)
- Asymptotical stability of differential equations driven by Hölder continuous paths (Q1743991) (← links)
- Optimal approximation of Skorohod integrals (Q1745263) (← links)
- The Euler scheme for stochastic differential equations with discontinuous drift coefficient: a numerical study of the convergence rate (Q2141948) (← links)
- Book review of: D. Higham and P. Kloeden, An introduction to the numerical simulation of stochastic differential equations (Q2143335) (← links)
- Discretizing the fractional Lévy area (Q2267547) (← links)
- The Mandelbrot-Van Ness fractional Brownian motion is infinitely differentiable with respect to its Hurst parameter (Q2321087) (← links)
- A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise (Q2450911) (← links)
- Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion (Q2471123) (← links)
- Optimal approximation of SDE's with additive fractional noise (Q2507586) (← links)
- Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion (Q2518618) (← links)
- A random Euler scheme for Carathéodory differential equations (Q2519725) (← links)
- Convergence of numerical methods for stochastic differential equations in mathematical finance (Q2849670) (← links)
- The Pathwise Convergence of Approximation Schemes for Stochastic Differential Equations (Q3091946) (← links)
- The Relation Between Mixed and Rough SDEs and Its Application to Numerical Methods (Q3194573) (← links)
- Asymptotic error distribution of the Euler method for SDEs with non-Lipschitz coefficients (Q3405600) (← links)
- SYNCHRONIZATION OF SYSTEMS WITH MULTIPLICATIVE NOISE (Q3520447) (← links)
- (Q3639870) (← links)
- An Adaptive Euler--Maruyama Scheme for Stochastic Differential Equations with Discontinuous Drift and its Convergence Analysis (Q4624977) (← links)
- Discretising the Heston model: an analysis of the weak convergence rate (Q4683814) (← links)
- The Euler–Maruyama scheme for SDEs with irregular drift: convergence rates via reduction to a quadrature problem (Q5077027) (← links)
- Synchronization of noisy dissipative systems under discretization (Q5192331) (← links)
- Multilevel Monte Carlo Quadrature of Discontinuous Payoffs in the Generalized Heston Model Using Malliavin Integration by Parts (Q5253180) (← links)
- Constructive Quantization and Multilevel Algorithms for Quadrature of Stochastic Differential Equations (Q5256556) (← links)
- An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process (Q5345939) (← links)
- (Q5479934) (← links)
- (Q5506134) (← links)
- The maximum rate of convergence for the approximation of the fractional Lévy area at a single point (Q5963454) (← links)
- The weak convergence order of two Euler-type discretization schemes for the log-Heston model (Q6190832) (← links)
- The Order Barrier for Strong Approximation of Rough Volatility Models (Q6274555) (← links)
- The Euler-Maruyama Scheme for SDEs with Irregular Drift: Convergence Rates via Reduction to a Quadrature Problem (Q6317303) (← links)
- Sharp $L^1$-Approximation of the log-Heston SDE by Euler-type methods (Q6401355) (← links)
- The order barrier for the $L^1$-approximation of the log-Heston SDE at a single point (Q6420530) (← links)
- Trees and asymptotic developments for fractional stochastic differential equations (Q6478205) (← links)