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Anzahl der Einträge:
47
.
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
;
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]
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.
Risks : Open Access Journal Basel 9 1 Article 23 [Zeitschriftenartikel]
Neuenkirch, Andreas
ORCID: 0000-0002-0419-1225
(2021)
D. Higham, P. Kloeden: "An introduction to the numerical simulation of stochastic differential equations".
Jahresbericht der Deutschen Mathematiker-Vereinigung Heidelberg 124 119-122 [Rezension]
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.
Advances in Difference Equations : ADE Cham 2019 Article 429 1-21 [Zeitschriftenartikel]
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]
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]
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]
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]
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]
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]
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]
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]
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]
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]
Dereich, Steffen
;
Neuenkirch, Andreas
ORCID: 0000-0002-0419-1225
;
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 [Zeitschriftenartikel]
Deya, Aurélien
;
Neuenkirch, Andreas
ORCID: 0000-0002-0419-1225
;
Tindel, Samy
(2012)
A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion.
Annales de l'Institut Henri Poincaré. B, Probabilité et statistiques Bethesda, Md. 48 2 518-550 [Zeitschriftenartikel]
Kloeden, Peter E.
;
Lord, Gabriel J.
;
Neuenkirch, Andreas
ORCID: 0000-0002-0419-1225
;
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 [Zeitschriftenartikel]
Kloeden, Peter E.
;
Neuenkirch, Andreas
ORCID: 0000-0002-0419-1225
;
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 [Zeitschriftenartikel]
Neuenkirch, Andreas
ORCID: 0000-0002-0419-1225
;
Tindel, Samy
;
Unterberger, Jérémie
(2010)
Discretizing the fractional Lévy area.
Stochastic Processes and Their Applications Amsterdam [u.a.] 120 2 223-254 [Zeitschriftenartikel]
Garrido-Atienza, Maria J.
;
Kloeden, Peter E.
;
Neuenkirch, Andreas
ORCID: 0000-0002-0419-1225
(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 [Zeitschriftenartikel]
Jentzen, Arnulf
;
Neuenkirch, Andreas
ORCID: 0000-0002-0419-1225
(2009)
A random Euler scheme for Carathéodory differential equations.
Journal of Computational and Applied Mathematics Amsterdam [u.a.] 224 1 346-359 [Zeitschriftenartikel]
Neuenkirch, Andreas
ORCID: 0000-0002-0419-1225
;
Tindel, Samy
;
Unterberger, Jérémie
(2009)
Discretizing the fractional Levy area.
Ithaca, NY [Arbeitspapier]
Neuenkirch, Andreas
ORCID: 0000-0002-0419-1225
;
Nourdin, Ivan
;
Rößler, Andreas
;
Tindel, Samy
(2009)
Trees and asymptotic expansions for fractional stochastic differential equations.
Annales de l'Institut Henri Poincaré. B, Probabilité et statistiques Bethesda, MD 45 1 157-174 [Zeitschriftenartikel]
Neuenkirch, Andreas
ORCID: 0000-0002-0419-1225
;
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 [Zeitschriftenartikel]
Jentzen, Arnulf
;
Kloeden, Peter E.
;
Neuenkirch, Andreas
ORCID: 0000-0002-0419-1225
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) [Konferenzveröffentlichung]
Kloeden, Peter E.
;
Neuenkirch, Andreas
ORCID: 0000-0002-0419-1225
;
Pavani, Raffaella
(2009)
Synchronization of noisy dissipative systems under discretization.
Journal of Difference Equations and Applications London [u.a.] 15 8/9 785-801 [Zeitschriftenartikel]
Jentzen, Arnulf
;
Kloeden, Peter E.
;
Neuenkirch, Andreas
ORCID: 0000-0002-0419-1225
(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 [Zeitschriftenartikel]
Neuenkirch, Andreas
ORCID: 0000-0002-0419-1225
(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 [Zeitschriftenartikel]
Neuenkirch, Andreas
ORCID: 0000-0002-0419-1225
;
Nourdin, Ivan
;
Tindel, Samy
(2008)
Delay equations driven by rough paths.
Electronic Journal of Probability : EJP Seattle, WA 13 Paper 67 2031-2068 [Zeitschriftenartikel]
Kloeden, Peter E.
;
Neuenkirch, Andreas
ORCID: 0000-0002-0419-1225
;
Caraballo, Tomás
(2008)
Synchronization of systems with multiplicative noise.
Stochastics and Dynamics : SD Singapore [u.a.] 8 1 139-154 [Zeitschriftenartikel]
Caraballo, Tomás
;
Kloeden, Peter E.
;
Neuenkirch, Andreas
ORCID: 0000-0002-0419-1225
;
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 Interdisciplinary Mathematical Sciences Aachen 25-47 [Buchkapitel]
Neuenkirch, Andreas
ORCID: 0000-0002-0419-1225
(2007)
Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion.
Ithaca, NY [Arbeitspapier]
Neuenkirch, Andreas
ORCID: 0000-0002-0419-1225
;
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 [Zeitschriftenartikel]
Kloeden, Peter E.
;
Neuenkirch, Andreas
ORCID: 0000-0002-0419-1225
(2007)
The pathwise convergence of approximation schemes for stochastic differential equations.
LMS Journal of Computation and Mathematics London 10 1 235-253 [Zeitschriftenartikel]
Neuenkirch, Andreas
ORCID: 0000-0002-0419-1225
(2006)
Optimal approximation of SDE's with additive fractional noise.
Journal of Complexity Amsterdam [u.a.] 22 4 459-474 [Zeitschriftenartikel]
Neuenkirch, Andreas
ORCID: 0000-0002-0419-1225
(2006)
Optimal approximation of stochastic differential equations with additive fractional noise.
Aachen 113 [Buch]
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