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Article

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 [Article]

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]

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 [Article]

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 [Article]

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]

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

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]

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]

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]

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 [Article]

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]

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

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

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

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

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 [Article]

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

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

Neuenkirch, Andreas ; Szölgyenyi, Michaela (2020) The Euler-Maruyama scheme for SDEs with irregular drift: convergence rates via reduction to a quadrature problem. IMA Journal of Numerical Analysis : IMAJNA Oxford tba 1-28 [Article]

Mickel, Annalena ; Neuenkirch, Andreas (2021) The weak convergence rate of two semi-exact discretization schemes for the Heston model. Open Access Risks : Open Access Journal Basel 9 1 Article 23 [Article]
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Book

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

Book chapter

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]

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]

Doctoral dissertation

Altmayer, Martin (2015) Quadrature of discontinuous SDE functionals using Malliavin integration by parts. Open Access Mannheim [Doctoral dissertation]
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Koch, Stefan (2019) Sensitivity results in stochastic analysis. Open Access Mannheim [Doctoral dissertation]
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Madensoy, Mehmet (2020) Change points and uniform confidence for spot volatility. Open Access Mannheim [Doctoral dissertation]
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Working paper

Göttlich, Simone ORCID: 0000-0002-8512-4525 ; 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]

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

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

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

Review

Neuenkirch, Andreas (2021) D. Higham, P. Kloeden: "An introduction to the numerical simulation of stochastic differential equations". Open Access Jahresbericht der Deutschen Mathematiker-Vereinigung Heidelberg [Review]
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This list was created automatically on Mon Aug 8 06:35:46 2022 CEST