Universitätsbibliographie

Fakultäten und Einrichtungen (36721)
- Fakultät für Wirtschaftsinformatik und Wirtschaftsmathematik (3841)
  - Wirtschaftsmathematik II: Stochastische Numerik (Neuenkirch 2013-) (37)

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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 [Zeitschriftenartikel]

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 [Zeitschriftenartikel]

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 [Buchkapitel]

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 [Zeitschriftenartikel]

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

Mannheim [Dissertation]

Vorschau

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

B

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

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 [Zeitschriftenartikel]

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 [Zeitschriftenartikel]

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 [Arbeitspapier]

H

Hinrichs, Aicke ; Neuenkirch, Andreas

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

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 [Buchkapitel]

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 [Zeitschriftenartikel]

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

Mannheim [Dissertation]

Vorschau

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 [Zeitschriftenartikel]

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 [Zeitschriftenartikel]

M

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

Mannheim [Dissertation]

Vorschau

Mickel, Annalena ; Neuenkirch, Andreas

(2021) The weak convergence rate of two semi-exact discretization schemes for the Heston model.

Risks : Open Access Journal Basel 9 1 Article 23 [Zeitschriftenartikel]

Mickel, Annalena ; Neuenkirch, Andreas

(2023) The weak convergence order of two Euler-type discretization schemes for the log-Heston model. IMA Journal of Numerical Analysis : IMAJNA Oxford 43 6 3326-3356 [Zeitschriftenartikel]

Mickel, Annalena (2023) Weak and strong approximation of the Log-Heston model by Euler-Type methods and related topics.

Mannheim [Dissertation]

Mickel, Annalena ; Neuenkirch, Andreas

(2023) Sharp L1-approximation of the log-Heston stochastic differential equation by Euler-type methods. The Journal of Computational Finance London 26 4 67-100 [Zeitschriftenartikel]

N

Neuenkirch, Andreas

; Szpruch, Lukasz (2014) First order strong approximations of scalar SDEs defined in a domain. Numerische Mathematik Berlin [u.a.] 128 1 103-136 [Zeitschriftenartikel]

Neuenkirch, Andreas

; Shalaiko, Taras (2015) The relation between mixed and rough SDEs and its application to numerical methods. Stochastic Analysis and Applications Philadelphia, Pa. 33 5 927-942 [Zeitschriftenartikel]

Neuenkirch, Andreas

; Shalaiko, Taras (2016) The maximum rate of convergence for the approximation of the fractional Lévy area at a single point. Journal of Complexity Amsterdam 33 107-117 [Zeitschriftenartikel]

Neuenkirch, Andreas

; Parczewski, Peter (2018) Optimal approximation of skorohod integrals. Journal of Theoretical Probability New York, NY [u.a.] 31 1 206-231 [Zeitschriftenartikel]

Neuenkirch, Andreas

; Szölgyenyi, Michaela ; Szpruch, Lukasz (2019) An adaptive Euler-Maruyama scheme for stochastic differential equations with discontinuous drift and its convergence analysis. SIAM Journal on Numerical Analysis Philadelphia, PA 57 1 378-403 [Zeitschriftenartikel]

Neuenkirch, Andreas

; Szölgyenyi, Michaela (2019) The Euler-Maruyama scheme for SDEs with irregular drift: Convergence rates via reduction to a quadrature problem. Ithaca, NY [Arbeitspapier]

Neuenkirch, Andreas

; Shalaiko, Taras (2016) The order barrier for strong approximation of rough volatility models. Ithaca, NY [Arbeitspapier]

Neuenkirch, Andreas

; Nourdin, Ivan ; Rößler, Andreas ; Tindel, Samy (2018) Trees and asymptotic developments for fractional stochastic differential equations. Ithaca, NY [Arbeitspapier]

Neuenkirch, Andreas

; Szölgyenyi, Michaela (2021) The Euler-Maruyama scheme for SDEs with irregular drift: convergence rates via reduction to a quadrature problem. IMA Journal of Numerical Analysis : IMAJNA Oxford 41 2 1164-1196 [Zeitschriftenartikel]

Neuenkirch, Andreas

(2021) D. Higham, P. Kloeden: "An introduction to the numerical simulation of stochastic differential equations".

Jahresbericht der Deutschen Mathematiker-Vereinigung Heidelberg 124 119-122 [Rezension]

P

Parczewski, Peter (2017) Extensions of the Hitsuda–Skorokhod integral. Communications on Stochastic Analysis Baton Rouge, LA 11 4 479-490 [Zeitschriftenartikel]

Parczewski, Peter (2017) The self-normalized Donsker theorem revisited. Modern Stochastics: Theory and Applications Vilnius 4 3 189-198 [Zeitschriftenartikel]

Parczewski, Peter (2017) Optimal approximation of Skorohod integrals - examples with substandard rates. Communications on Stochastic Analysis Baton Rouge, LA 11 1 43-61 [Zeitschriftenartikel]

Parczewski, Peter (2017) Donsker-type theorems for correlated geometric fractional Brownian motions and related processes. Electronic Communications in Probability : ECP Seattle, WA 22 Paper 55 1-13 [Zeitschriftenartikel]

Parczewski, Peter (2014) A Wick functional limit theorem. Probability and Mathematical Statistics Wrocław 34 1 127-145 [Zeitschriftenartikel]

Parczewski, Peter (2014) A fractional Donsker theorem. Stochastic Analysis and Applications Philadelphia, PA 32 2 328-347 [Zeitschriftenartikel]

Diese Liste wurde am Sat Apr 27 04:07:39 2024 CEST automatisch erstellt.

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