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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 [Article]

2018

Neuenkirch, Andreas ; Parczewski, Peter (2018) Optimal approximation of skorohod integrals. Journal of Theoretical Probability 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 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 264 2 1119-1145 [Article]

Neuenkirch, Andreas ; Szölgyenyi, Michaela ; Szpruch, Lukasz (2018) An adaptive Euler-Maruyama scheme for stochastic differential equations with discontinuous drift and its convergence analysis. SIAM Journal on Numerical Analysis 1-26 [Article]

2017

Altmayer, Martin ; Neuenkirch, Andreas (2017) Discretizing the Heston model : an analysis of the weak convergence rate. IMA Journal of Numerical Analysis : IMAJNA 37 4 1930-1960 [Article]

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 33 107-117 [Article]

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 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 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 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 128 1 103-136 [Article]

Altmayer, Martin ; Dereich, Steffen ; Li, Sangmeng ; Müller-Gronbach, Thomas ; Neuenkirch, Andreas ; Ritter, Klaus ; Yaroslavtseva, Larissa (2014) Constructive Quantization of Multilevel Algorithms for Quadrature of Stochastic Differential Equations. Cham 109-132 [Book chapter]

2013

Kloeden, Peter ; Neuenkirch, Andreas (2013) Convergence of numerical methods for stochastic differential equations in mathematical finance. New Jersey, NJ [u.a.] 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 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 48 2 518-550 [Article]

This list was created automatically on Fri Apr 26 18:43:08 2019 CEST