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2025

Liu, Ruishu ; Neuenkirch, Andreas ORCID: 0000-0002-0419-1225 ; 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 [Zeitschriftenartikel]

Mickel, Annalena ; Neuenkirch, Andreas ORCID: 0000-0002-0419-1225 (2025) On the convergence order of the Euler scheme for scalar SDEs with Hölder-type diffusion coefficients. Open Access Journal of Mathematical Analysis and Applications Amsterdam [u.a.] 542 1, Article 128788 1-25 [Zeitschriftenartikel]
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Göttlich, Simone ORCID: 0000-0002-8512-4525 ; Heieck, Jacob ; Neuenkirch, Andreas ORCID: 0000-0002-0419-1225 (2025) Using low-discrepancy points for data compression in machine learning: an experimental comparison. Open Access Journal of Mathematics in Industry Berlin ; Heidelberg 15 1 1-25 [Zeitschriftenartikel]
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Böhme, Timo ; Göttlich, Simone ORCID: 0000-0002-8512-4525 ; Neuenkirch, Andreas ORCID: 0000-0002-0419-1225 (2025) A nonlocal traffic flow model with stochastic velocity. Open Access Mathematical Modelling and Numerical Analysis = Modélisation Mathématique et Analyse Numérique Les Ulis 59 1 487-518 [Zeitschriftenartikel]
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2024

Mickel, Annalena ; Neuenkirch, Andreas ORCID: 0000-0002-0419-1225 The order barrier for the L1-approximation of the log-Heston SDE at a single point. Hinrichs, Aicke ; Kritzer, Peter ; Pillichshammer, Friedrich Springer Proceedings in Mathematics & Statistics 460 489-506 In: Monte Carlo and Quasi-Monte Carlo Methods : MCQMC 2022, Linz, Austria, July 17-22 (2024) Cham MCQMC 2022 (Linz, Austria) [Konferenzveröffentlichung]

2023

Mickel, Annalena ; Neuenkirch, Andreas ORCID: 0000-0002-0419-1225 (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. Open Access Mannheim [Dissertation]
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Mickel, Annalena ; Neuenkirch, Andreas ORCID: 0000-0002-0419-1225 (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]

2022

Klingert, Sonja ; Lee, Jong-Won (2022) Using real mobility patterns to assess the impact of 100% electrified mobility in a German city. Open Access Energy Informatics Cham 5 Article 32 1-24 [Zeitschriftenartikel]
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2021

Neuenkirch, Andreas ORCID: 0000-0002-0419-1225 ; 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]

Mickel, Annalena ; Neuenkirch, Andreas ORCID: 0000-0002-0419-1225 (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 [Zeitschriftenartikel]
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Neuenkirch, Andreas ORCID: 0000-0002-0419-1225 (2021) D. Higham, P. Kloeden: "An introduction to the numerical simulation of stochastic differential equations". Open Access Jahresbericht der Deutschen Mathematiker-Vereinigung Heidelberg 124 119-122 [Rezension]
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2020

Madensoy, Mehmet (2020) Change points and uniform confidence for spot volatility. Open Access Mannheim [Dissertation]
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Vorschau

2019

Göttlich, Simone ORCID: 0000-0002-8512-4525 ; Lux, Kerstin ; Neuenkirch, Andreas ORCID: 0000-0002-0419-1225 (2019) The Euler scheme for stochastic differential equations with discontinuous drift coefficient: a numerical study of the convergence rate. Open Access Advances in Difference Equations : ADE Cham 2019 Article 429 1-21 [Zeitschriftenartikel]
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Vorschau

Koch, Stefan ; Neuenkirch, Andreas ORCID: 0000-0002-0419-1225 (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]

Neuenkirch, Andreas ORCID: 0000-0002-0419-1225 ; 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 ORCID: 0000-0002-0419-1225 ; Szölgyenyi, Michaela (2019) The Euler-Maruyama scheme for SDEs with irregular drift: Convergence rates via reduction to a quadrature problem. Ithaca, NY [Arbeitspapier]

Koch, Stefan (2019) Sensitivity results in stochastic analysis. Open Access Mannheim [Dissertation]
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Vorschau

2018

Neuenkirch, Andreas ORCID: 0000-0002-0419-1225 ; Parczewski, Peter (2018) Optimal approximation of skorohod integrals. Journal of Theoretical Probability New York, NY [u.a.] 31 1 206-231 [Zeitschriftenartikel]

Garrido-Atienza, Maria J. ; Neuenkirch, Andreas ORCID: 0000-0002-0419-1225 ; 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]

Duc, Luu H. ; Garrido-Atienza, Maria J. ; Neuenkirch, Andreas ORCID: 0000-0002-0419-1225 ; 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]

Neuenkirch, Andreas ORCID: 0000-0002-0419-1225 ; Nourdin, Ivan ; Rößler, Andreas ; Tindel, Samy (2018) Trees and asymptotic developments for fractional stochastic differential equations. Ithaca, NY [Arbeitspapier]

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]

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

2017

Altmayer, Martin ; Neuenkirch, Andreas ORCID: 0000-0002-0419-1225 (2017) Discretising the Heston model: an analysis of the weak convergence rate. IMA Journal of Numerical Analysis : IMAJNA Oxford 37 4 1930-1960 [Zeitschriftenartikel]

Göttlich, Simone ORCID: 0000-0002-8512-4525 ; Lux, Kerstin ; Neuenkirch, Andreas ORCID: 0000-0002-0419-1225 (2017) The Euler scheme for stochastic differential equations with discontinuous drift coefficient: A numerical study of the convergence rate. Ithaca, NY [Arbeitspapier]

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]

2016

Neuenkirch, Andreas ORCID: 0000-0002-0419-1225 ; 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 ORCID: 0000-0002-0419-1225 ; Shalaiko, Taras (2016) The order barrier for strong approximation of rough volatility models. Ithaca, NY [Arbeitspapier]

2015

Altmayer, Martin ; Neuenkirch, Andreas ORCID: 0000-0002-0419-1225 (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 ORCID: 0000-0002-0419-1225 (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]

Neuenkirch, Andreas ORCID: 0000-0002-0419-1225 ; 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]

Altmayer, Martin (2015) Quadrature of discontinuous SDE functionals using Malliavin integration by parts. Open Access Mannheim [Dissertation]
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Vorschau

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

2014

Neuenkirch, Andreas ORCID: 0000-0002-0419-1225 ; Tindel, Samy (2014) A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise. Statistical Inference for Stochastic Processes Dordrecht [u.a.] 17 1 99-120 [Zeitschriftenartikel]

Neuenkirch, Andreas ORCID: 0000-0002-0419-1225 ; Szpruch, Lukasz (2014) First order strong approximations of scalar SDEs defined in a domain. Numerische Mathematik Berlin [u.a.] 128 1 103-136 [Zeitschriftenartikel]

Altmayer, Martin ; Dereich, Steffen ; Li, Sangmeng ; Müller-Gronbach, Thomas ; Neuenkirch, Andreas ORCID: 0000-0002-0419-1225 ; 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]

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]

Hinrichs, Aicke ; Neuenkirch, Andreas ORCID: 0000-0002-0419-1225 ; Novak, Erich (2014) Guest editors' preface. Journal of Complexity Amsterdam [u.a.] 30 2 1 [Zeitschriftenartikel]

2013

Kloeden, Peter E. ; Neuenkirch, Andreas ORCID: 0000-0002-0419-1225 (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]

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