Andreas Neuenkirch

Available identifiers

zbMath Open neuenkirch.andreasWikidataQ47010591 ScholiaQ47010591MaRDI QIDQ247388

List of research outcomes

Publication	Date of Publication	Type
The weak convergence order of two Euler-type discretization schemes for the log-Heston model	2024-02-06	Paper
The order barrier for the $L^1$-approximation of the log-Heston SDE at a single point	2022-12-14	Paper
Sharp $L^1$-Approximation of the log-Heston SDE by Euler-type methods	2022-06-07	Paper
Book review of: D. Higham and P. Kloeden, An introduction to the numerical simulation of stochastic differential equations	2022-05-31	Paper
The Euler scheme for stochastic differential equations with discontinuous drift coefficient: a numerical study of the convergence rate	2022-05-25	Paper
The Euler–Maruyama scheme for SDEs with irregular drift: convergence rates via reduction to a quadrature problem	2022-05-17	Paper
The Mandelbrot-Van Ness fractional Brownian motion is infinitely differentiable with respect to its Hurst parameter	2019-08-28	Paper
The Euler-Maruyama Scheme for SDEs with Irregular Drift: Convergence Rates via Reduction to a Quadrature Problem	2019-04-16	Paper
An Adaptive Euler--Maruyama Scheme for Stochastic Differential Equations with Discontinuous Drift and its Convergence Analysis	2019-02-20	Paper
Discretising the Heston model: an analysis of the weak convergence rate	2018-09-26	Paper
Optimal approximation of Skorohod integrals	2018-04-20	Paper
Asymptotical stability of differential equations driven by Hölder continuous paths	2018-04-16	Paper
Exponential stability of stochastic evolution equations driven by small fractional Brownian motion with Hurst parameter in \((1/2,1)\)	2017-11-16	Paper
An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process	2017-06-07	Paper
The Order Barrier for Strong Approximation of Rough Volatility Models	2016-06-13	Paper
The maximum rate of convergence for the approximation of the fractional Lévy area at a single point	2016-02-19	Paper
The Relation Between Mixed and Rough SDEs and Its Application to Numerical Methods	2015-10-20	Paper
Constructive Quantization and Multilevel Algorithms for Quadrature of Stochastic Differential Equations	2015-06-18	Paper
Multilevel Monte Carlo Quadrature of Discontinuous Payoffs in the Generalized Heston Model Using Malliavin Integration by Parts	2015-06-04	Paper
An Euler scheme for stochastic delay differential equations on unbounded domains: pathwise convergence	2014-12-08	Paper
First order strong approximations of scalar SDEs defined in a domain	2014-09-09	Paper
A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise	2014-05-23	Paper
Convergence of numerical methods for stochastic differential equations in mathematical finance	2013-09-24	Paper
A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion	2012-06-04	Paper
Multilevel Monte Carlo for stochastic differential equations with additive fractional noise	2012-03-08	Paper
The Pathwise Convergence of Approximation Schemes for Stochastic Differential Equations	2011-09-15	Paper
The exponential integrator scheme for stochastic partial differential equations: Pathwise error bounds	2010-11-30	Paper
Discretizing the fractional Lévy area	2010-03-01	Paper
Asymptotic error distribution of the Euler method for SDEs with non-Lipschitz coefficients	2010-02-10	Paper
Discretization of stationary solutions of stochastic systems driven by fractional Brownian motion	2010-01-18	Paper
Delay equations driven by rough paths	2009-11-20	Paper
https://portal.mardi4nfdi.de/entity/Q3639870	2009-10-26	Paper
Trees and asymptotic expansions for fractional stochastic differential equations	2009-08-24	Paper
Synchronization of noisy dissipative systems under discretization	2009-08-04	Paper
Pathwise approximation of stochastic differential equations on domains: Higher order convergence rates without global Lipschitz coefficients	2009-05-05	Paper
https://portal.mardi4nfdi.de/entity/Q5506134	2009-01-28	Paper
A random Euler scheme for Carathéodory differential equations	2009-01-27	Paper
Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion	2009-01-16	Paper
SYNCHRONIZATION OF SYSTEMS WITH MULTIPLICATIVE NOISE	2008-08-26	Paper
Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion	2008-02-18	Paper
Trees and asymptotic developments for fractional stochastic differential equations	2006-11-10	Paper
Optimal approximation of SDE's with additive fractional noise	2006-10-05	Paper
https://portal.mardi4nfdi.de/entity/Q5479934	2006-07-25	Paper

Research outcomes over time

Doctoral students

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