Andreas Neuenkirch

发表

Algorithms and Complexity for Continuous Problems

Frances Y. Kuo, Joseph F. Traub, Alexander Keller, 2012 .

The exponential integrator scheme for stochastic partial differential equations: Pathwise error bounds

Peter E. Kloeden, Andreas Neuenkirch, Tony Shardlow, 2011, J. Comput. Appl. Math..

Optimal approximation of SDE's with additive fractional noise

Andreas Neuenkirch, 2006, J. Complex..

Algorithms and Complexity for Continuous Problems (Dagstuhl Seminar 12391)

Frances Y. Kuo, Alexander Keller, Joseph F. Traub, 2012, Dagstuhl Reports.

The maximum rate of convergence for the approximation of the fractional Lévy area at a single point

Andreas Neuenkirch, Taras Shalaiko, A. Neuenkirch, 2016, J. Complex..

Pathwise approximation of stochastic differential equations on domains: higher order convergence rates without global Lipschitz coefficients

Peter E. Kloeden, Arnulf Jentzen, Andreas Neuenkirch, 2009, Numerische Mathematik.

Multilevel Monte Carlo for stochastic differential equations with additive fractional noise

Peter E. Kloeden, Andreas Neuenkirch, Raffaella Pavani, 2011, Ann. Oper. Res..

Foundations of Computational Mathematics, Hong Kong 2008: Pathwise Convergence of Numerical Schemes for Random and Stochastic Differential Equations

Peter E. Kloeden, Arnulf Jentzen, Andreas Neuenkirch, 2009 .

An Adaptive Euler-Maruyama Scheme for Stochastic Differential Equations with Discontinuous Drift and its Convergence Analysis

Andreas Neuenkirch, Lukasz Szpruch, Michaela Szölgyenyi, 2018, SIAM J. Numer. Anal..

Multilevel Monte Carlo Quadrature of Discontinuous Payoffs in the Generalized Heston Model Using Malliavin Integration by Parts

Andreas Neuenkirch, Martin Altmayer, A. Neuenkirch, 2015, SIAM J. Financial Math..

The Euler–Maruyama scheme for SDEs with irregular drift: convergence rates via reduction to a quadrature problem

Andreas Neuenkirch, Michaela Szolgyenyi, A. Neuenkirch, 2019, IMA Journal of Numerical Analysis.

Asymptotic error distribution of the Euler method for SDEs with non-Lipschitz coefficients

Henryk Zähle, Andreas Neuenkirch, 2009, Monte Carlo Methods Appl..

Guest Editors' Preface

Erich Novak, Aicke Hinrichs, Andreas Neuenkirch, 2010, J. Complex..

First order strong approximations of scalar SDEs defined in a domain

Andreas Neuenkirch, Lukasz Szpruch, L. Szpruch, 2014, Numerische Mathematik.

The weak convergence order of two Euler-type discretization schemes for the log-Heston model pdf

Andreas Neuenkirch, Annalena Mickel, 2021, ArXiv.

The Weak Convergence Rate of Two Semi-Exact Discretization Schemes for the Heston Model

Andreas Neuenkirch, Annalena Mickel, A. Neuenkirch, 2021 .

Exact Rate of Convergence of Some Approximation Schemes Associated to SDEs Driven by a Fractional Brownian Motion

Ivan Nourdin, Andreas Neuenkirch, 2006 .

Discretization of Stationary Solutions of Stochastic Systems Driven by Fractional Brownian Motion

Peter E. Kloeden, Andreas Neuenkirch, María J. Garrido-Atienza, 2009 .

The Order Barrier for Strong Approximation of Rough Volatility Models

Andreas Neuenkirch, Taras Shalaiko, 2016 .

First order strong approximations of scalar SDEs with values in a domain

Andreas Neuenkirch, Lukasz Szpruch, L. Szpruch, 2012, 1209.0390.

A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise

Andreas Neuenkirch, Samy Tindel, A. Neuenkirch, 2011, 1111.1816.

Asymptotical Stability of Differential Equations Driven by Hölder Continuous Paths

Andreas Neuenkirch, Björn Schmalfuß, María J. Garrido-Atienza, 2016, 1604.06213.

Discretizing the Heston Model: An Analysis of the Weak Convergence Rate

Andreas Neuenkirch, Martin Altmayer, A. Neuenkirch, 2016, 1604.05540.

Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion

Andreas Neuenkirch, 2007 .

CONVERGENCE OF NUMERICAL METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS IN MATHEMATICAL FINANCE

Andreas Neuenkirch, Peter Kloeden, P. Kloeden, 2012, 1204.6620.

A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion

Andreas Neuenkirch, Samy Tindel, Aur'elien Deya, 2010, 1001.3344.