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2019

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]

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]

Koch, Stefan (2019) Sensitivity results in stochastic analysis. Open Access Mannheim [Doctoral dissertation]
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2018

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]

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

2017

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]

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]

2016

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]

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

2015

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]

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]

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

2014

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 ; 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]

2013

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]

Schneider, Georg Hubert (2013) Lagrange interpolation and quasi-interpolation using trivariate splines on a uniform partition. Open Access Mannheim [Doctoral dissertation]
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2012

Dereich, Steffen ; Neuenkirch, Andreas ; Szpruch, Lukasz (2012) An Euler-type method for the strong approximation of the Cox-Ingersoll-Ross process. Proceedings / Section A, Mathematics Edinburgh 468 1105-1115 [Article]

Deya, Aurélien ; Neuenkirch, Andreas ; Tindel, Samy (2012) A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion. Annales de l’Institut Henri Poincaré. Probabilités et statistiques Bethesda, Md. 48 2 518-550 [Article]

2011

Kloeden, Peter E. ; Neuenkirch, Andreas ; Pavani, Raffaella (2011) Multilevel Monte Carlo for stochastic differential equations with additive fractional noise. Annals of Operations Research New York, NY [u.a.] 189 1 255-276 [Article]

Kloeden, Peter E. ; Lord, Gabriel J. ; Neuenkirch, Andreas ; Shardlow, Tony (2011) The exponential integrator scheme for stochastic partial differential equations: Pathwise error bounds. Journal of Computational and Applied Mathematics Amsterdam [u.a.] 235 5 1245-1260 [Article]

2010

Neuenkirch, Andreas ; Tindel, Samy ; Unterberger, Jérémie (2010) Discretizing the fractional Lévy area. Stochastic Processes and their Applications Amsterdam [u.a.] 120 2 223-254 [Article]

2009

Jentzen, Arnulf ; Kloeden, Peter E. ; Neuenkirch, Andreas Pathwise convergence of numerical schemes for random and stochastic differential equations. Cucker, Felipe London Mathematical Society Lecture Note Series 363 140-161 In: Foundations of Computational Mathematics, Hong Kong 2008 (2009) Cambridge Foundations of Computational Mathematics, Hong Kong 2008 (Hong Kong, China) [Conference or workshop publication]

Neuenkirch, Andreas ; Nourdin, Ivan ; Rößler, Andreas ; Tindel, Samy (2009) Trees and asymptotic expansions for fractional stochastic differential equations. Annales de l’Institut Henri Poincaré ; B: Probabilités et Statistiques Bethesda, MD 45 1 157-174 [Article]

Garrido-Atienza, Maria J. ; Kloeden, Peter E. ; Neuenkirch, Andreas (2009) Discretization of stationary solutions of stochastic systems driven by fractional Brownian motion. Applied Mathematics and Optimization New York, NY ; Heidelberg ; Berlin 60 2 151-172 [Article]

Neuenkirch, Andreas ; Tindel, Samy ; Unterberger, Jérémie (2009) Discretizing the fractional Levy area. Ithaca, NY [Working paper]

Jentzen, Arnulf ; Kloeden, Peter E. (2009) Pathwise approximation of stochastic differential equations on domains: higher order convergence rates without global Lipschitz coefficients. Numerische Mathematik Berlin [u.a.] 112 1 41-64 [Article]

Jentzen, Arnulf ; Neuenkirch, Andreas (2009) A random Euler scheme for Carathéodory differential equations. Journal of Computational and Applied Mathematics Amsterdam [u.a.] 224 1 346-359 [Article]

Neuenkirch, Andreas ; Zähle, Henryk (2009) Asymptotic error distribution of the Euler method for SDEs with non-Lipschitz coefficients. Monte Carlo Methods and Applications Berlin [u.a.] 15 4 333-351 [Article]

Kloeden, Peter E. ; Neuenkirch, Andreas ; Pavani, Raffaella (2009) Synchronization of noisy dissipative systems under discretization. Journal of Difference Equations and Applications London [u.a.] 15 8/9 785-801 [Article]

2008

Neuenkirch, Andreas (2008) Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion. Stochastic Processes and Their Applications Amsterdam [u.a.] 118 12 2294-2333 [Article]

Kloeden, Peter E. ; Neuenkirch, Andreas ; Caraballo, Tomás (2008) Synchronization of systems with multiplicative noise. Stochastics and Dynamics : SD Singapore [u.a.] 8 1 139-154 [Article]

Neuenkirch, Andreas ; Nourdin, Ivan ; Tindel, Samy (2008) Delay equations driven by rough paths. Electronic Journal of Probability : EJP Seattle, WA 13 Paper 67 2031-2068 [Article]

Caraballo, Tomás ; Kloeden, Peter E. ; Neuenkirch, Andreas ; Pavani, Raffaella (2008) Synchronization of dissipative systems with additive and linear noise. Tammer, Christiane Festschrift in celebration of Prof. Dr. Wilfried Grecksch's 60th birthday Aachen 25-47 [Book chapter]

2007

Neuenkirch, Andreas (2007) Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion. Ithaca, NY [Working paper]

Neuenkirch, Andreas ; Nourdin, Ivan (2007) Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion. Journal of Theoretical Probability New York, NY [u.a.] 20 4 871-899 [Article]

Kloeden, Peter E. ; Neuenkirch, Andreas (2007) The pathwise convergence of approximation schemes for stochastic differential equations. LMS Journal of Computation and Mathematics London 10 1 235-253 [Article]

2006

Neuenkirch, Andreas (2006) Optimal approximation of SDE's with additive fractional noise. Journal of Complexity Amsterdam [u.a.] 22 4 459-474 [Article]

This list was created automatically on Mon Oct 21 04:49:17 2019 CEST