University Bibliography

Faculties and Departments (38861)
- School of Business Informatics and Mathematics (4014)
  - Wirtschaftsmathematik II: Stochastische Numerik (Neuenkirch 2013-) (45)

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A

Altmayer, Martin ; Neuenkirch, Andreas

(2015) Multilevel Monte Carlo quadrature of discontinuous payoffs in the generalized Heston model using Malliavin integration by parts. SIAM Journal on Financial Mathematics : SIFIN Philadelphia, Pa. 6 1 22-52 [Article]

Akhtari, Bahareh ; Babolian, Esmail ; Neuenkirch, Andreas

(2015) An Euler scheme for stochastic delay differential equations on unbounded domains: pathwise convergence. Discrete and Continuous Dynamical Systems : DCDS. Series B Springfield, Mo. 20 1 23-38 [Article]

Altmayer, Martin ; Dereich, Steffen ; Li, Sangmeng ; Müller-Gronbach, Thomas ; Neuenkirch, Andreas

; Ritter, Klaus ; Yaroslavtseva, Larissa (2014) Constructive quantization and multilevel algorithms for quadrature of stochastic differential equations. Dahlke, Stephan Extraction of Quantifiable Information from Complex Systems Lecture Notes in Computational Science and Engineering Cham 102 109-132 [Book chapter]

Altmayer, Martin ; Neuenkirch, Andreas

(2017) Discretising the Heston model: an analysis of the weak convergence rate. IMA Journal of Numerical Analysis : IMAJNA Oxford 37 4 1930-1960 [Article]

Altmayer, Martin (2015) Quadrature of discontinuous SDE functionals using Malliavin integration by parts.

Mannheim [Doctoral dissertation]

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Altmayer, Martin (2015) Quadrature of discontinuous SDE functionals using Malliavin integration by parts. München [Book]

B

Bender, Christian ; Parczewski, Peter (2018) Discretizing Malliavin calculus. Stochastic Processes and Their Applications Amsterdam [u.a.] 128 8 2489 - 2537 [Article]

Böhme, Timo ; Göttlich, Simone

; Neuenkirch, Andreas

(2025) A nonlocal traffic flow model with stochastic velocity.

Mathematical Modelling and Numerical Analysis = Modélisation Mathématique et Analyse Numérique Les Ulis 59 1 487-518 [Article]

D

Duc, Luu H. ; Garrido-Atienza, Maria J. ; Neuenkirch, Andreas

; Schmalfuß, Björn (2018) Exponential stability of stochastic evolution equations driven by small fractional Brownian motion with Hurst parameter in (1/2,1). Journal of Differential Equations Orlando, FL [u.a.] 264 2 1119-1145 [Article]

G

Garrido-Atienza, Maria J. ; Neuenkirch, Andreas

; Schmalfuß, Björn (2018) Asymptotical stability of differential equations driven by Hölder continuous paths. Journal of Dynamics and Differential Equations New York, NY [u.a.] 30 1 359-377 [Article]

Göttlich, Simone

; Lux, Kerstin ; Neuenkirch, Andreas

(2019) The Euler scheme for stochastic differential equations with discontinuous drift coefficient: a numerical study of the convergence rate.

Advances in Difference Equations : ADE Cham 2019 Article 429 1-21 [Article]

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Göttlich, Simone

; Lux, Kerstin ; Neuenkirch, Andreas

(2017) The Euler scheme for stochastic differential equations with discontinuous drift coefficient: A numerical study of the convergence rate. Ithaca, NY [Working paper]

Göttlich, Simone

; Heieck, Jacob ; Neuenkirch, Andreas

(2025) Using low-discrepancy points for data compression in machine learning: an experimental comparison.

Journal of Mathematics in Industry Berlin ; Heidelberg 15 1 1-25 [Article]

H

Hinrichs, Aicke ; Neuenkirch, Andreas

; Novak, Erich (2014) Guest editors' preface. Journal of Complexity Amsterdam [u.a.] 30 2 1 [Article]

K

Kloeden, Peter E. ; Neuenkirch, Andreas

(2013) Convergence of numerical methods for stochastic differential equations in mathematical finance. Gerstner, Thomas Recent Developments in Computational Finance Interdisciplinary Mathematical Sciences New Jersey, NJ [u.a.] 14 49-80 [Book chapter]

Koch, Stefan ; Neuenkirch, Andreas

(2019) The Mandelbrot-van Ness fractional Brownian motion is infinitely differentiable with respect to its Hurst parameter. Discrete and Continuous Dynamical Systems : DCDS. Series B Springfield, MO 24 8 3865-3880 [Article]

Koch, Stefan (2019) Sensitivity results in stochastic analysis.

Mannheim [Doctoral dissertation]

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Koch, Stefan (2018) Directional Malliavin derivatives: A characterisation of independence and a generalised chain rule. Communications on Stochastic Analysis Baton Rouge, LA 12 2 137-156 [Article]

Klingert, Sonja ; Lee, Jong-Won (2022) Using real mobility patterns to assess the impact of 100% electrified mobility in a German city.

Energy Informatics Cham 5 Article 32 1-24 [Article]

Kwossek, Anna P. ; Neuenkirch, Andreas

; Prömel, David J.

(2025) Functional differential equations driven by càdlàg rough paths.

Electronic Journal of Probability : EJP Seattle, WA 30 Article 1381 1-32 [Article]

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L

Liu, Ruishu ; Neuenkirch, Andreas

; Wang, Xiaojie (2025) A strong order 1.5 boundary preserving discretization scheme for scalar SDEs defined in a domain. Mathematics of Computation Providence, RI 94 354 1815-1862 [Article]

M

Madensoy, Mehmet (2020) Change points and uniform confidence for spot volatility.

Mannheim [Doctoral dissertation]