Optimal approximation of SDE's with additive fractional noise. - Andreas Neuenkirch (J. Complex., 2006)

The Pathwise Convergence of Approximation Schemes for Stochastic Differential Equations. - Peter E. Kloeden; Andreas Neuenkirch (LMS J. Comput. Math., 2007)

Asymptotic error distribution of the Euler method for SDEs with non-Lipschitz coefficients. - Andreas Neuenkirch; Henryk Zähle (Monte Carlo Methods Appl., 2009)

Pathwise approximation of stochastic differential equations on domains: higher order convergence rates without global Lipschitz coefficients. - Arnulf Jentzen; Peter E. Kloeden; Andreas Neuenkirch (Numerische Mathematik, 2009)

Multilevel Monte Carlo for stochastic differential equations with additive fractional noise. - Peter E. Kloeden; Andreas Neuenkirch; Raffaella Pavani (Ann. Oper. Res., 2011)

The exponential integrator scheme for stochastic partial differential equations: Pathwise error bounds. - Peter E. Kloeden; Gabriel J. Lord; Andreas Neuenkirch; Tony Shardlow (J. Comput. Appl. Math., 2011)

Algorithms and Complexity for Continuous Problems (Dagstuhl Seminar 12391). - Alexander Keller 001; Frances Y. Kuo; Andreas Neuenkirch; Joseph F. Traub (Dagstuhl Reports, 2012)

Guest Editors' Preface. - Aicke Hinrichs; Andreas Neuenkirch; Erich Novak (J. Complex., 2014)

First order strong approximations of scalar SDEs defined in a domain. - Andreas Neuenkirch; Lukasz Szpruch (Numerische Mathematik, 2014)

Multilevel Monte Carlo Quadrature of Discontinuous Payoffs in the Generalized Heston Model Using Malliavin Integration by Parts. - Martin Altmayer; Andreas Neuenkirch (SIAM J. Financial Math., 2015)

The maximum rate of convergence for the approximation of the fractional Lévy area at a single point. - Andreas Neuenkirch; Taras Shalaiko (J. Complex., 2016)

An Adaptive Euler-Maruyama Scheme for Stochastic Differential Equations with Discontinuous Drift and its Convergence Analysis. - Andreas Neuenkirch; Michaela Szölgyenyi; Lukasz Szpruch (SIAM J. Numer. Anal., 2019)

The weak convergence order of two Euler-type discretization schemes for the log-Heston model. - Annalena Mickel; Andreas Neuenkirch (CoRR, 2021)

Sharp L1-Approximation of the log-Heston SDE by Euler-type methods. - Annalena Mickel; Andreas Neuenkirch (CoRR, 2022)

The order barrier for the L1-approximation of the log-Heston SDE at a single point. - Annalena Mickel; Andreas Neuenkirch (CoRR, 2022)

On the convergence order of the Euler scheme for scalar SDEs with Hölder-type diffusion coefficients. - Annalena Mickel; Andreas Neuenkirch (CoRR, 2023)

A nonlocal traffic flow model with stochastic velocity. - Timo Böhme; Simone Göttlich; Andreas Neuenkirch (CoRR, 2024)

Using Low-Discrepancy Points for Data Compression in Machine Learning: An Experimental Comparison. - Simone Göttlich; Jacob Heieck; Andreas Neuenkirch (CoRR, 2024)

A strong order 1.5 boundary preserving discretization scheme for scalar SDEs defined in a domain. - Ruishu Liu; Andreas Neuenkirch; Xiaojie Wang (Math. Comput., 2024)