Andreas Neuenkirch
According to our database1,
Andreas Neuenkirch
authored at least 16 papers
between 2006 and 2023.
Collaborative distances:
Collaborative distances:
Timeline
Legend:
Book In proceedings Article PhD thesis Dataset OtherLinks
Online presence:
-
on zbmath.org
-
on d-nb.info
On csauthors.net:
Bibliography
2023
On the convergence order of the Euler scheme for scalar SDEs with Hölder-type diffusion coefficients.
CoRR, 2023
2022
The order barrier for the L<sup>1</sup>-approximation of the log-Heston SDE at a single point.
CoRR, 2022
CoRR, 2022
2021
The weak convergence order of two Euler-type discretization schemes for the log-Heston model.
CoRR, 2021
2019
An Adaptive Euler-Maruyama Scheme for Stochastic Differential Equations with Discontinuous Drift and its Convergence Analysis.
SIAM J. Numer. Anal., 2019
2016
The maximum rate of convergence for the approximation of the fractional Lévy area at a single point.
J. Complex., 2016
2015
Multilevel Monte Carlo Quadrature of Discontinuous Payoffs in the Generalized Heston Model Using Malliavin Integration by Parts.
SIAM J. Financial Math., 2015
2014
Numerische Mathematik, 2014
2012
Dagstuhl Reports, 2012
2011
The exponential integrator scheme for stochastic partial differential equations: Pathwise error bounds.
J. Comput. Appl. Math., 2011
Multilevel Monte Carlo for stochastic differential equations with additive fractional noise.
Ann. Oper. Res., 2011
2009
Pathwise approximation of stochastic differential equations on domains: higher order convergence rates without global Lipschitz coefficients.
Numerische Mathematik, 2009
Asymptotic error distribution of the Euler method for SDEs with non-Lipschitz coefficients.
Monte Carlo Methods Appl., 2009
2007
The Pathwise Convergence of Approximation Schemes for Stochastic Differential Equations.
LMS J. Comput. Math., 2007
2006