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Andreas Neuenkirch
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2020 – today
- 2024
- [i7]Timo Böhme, Simone Göttlich, Andreas Neuenkirch:
A nonlocal traffic flow model with stochastic velocity. CoRR abs/2407.02962 (2024) - [i6]Simone Göttlich, Jacob Heieck, Andreas Neuenkirch:
Using Low-Discrepancy Points for Data Compression in Machine Learning: An Experimental Comparison. CoRR abs/2407.07450 (2024) - 2023
- [i5]Annalena Mickel, Andreas Neuenkirch:
On the convergence order of the Euler scheme for scalar SDEs with Hölder-type diffusion coefficients. CoRR abs/2307.11448 (2023) - 2022
- [i4]Annalena Mickel, Andreas Neuenkirch:
Sharp L1-Approximation of the log-Heston SDE by Euler-type methods. CoRR abs/2206.03229 (2022) - [i3]Annalena Mickel, Andreas Neuenkirch:
The order barrier for the L1-approximation of the log-Heston SDE at a single point. CoRR abs/2212.07252 (2022) - 2021
- [i2]Annalena Mickel, Andreas Neuenkirch:
The weak convergence order of two Euler-type discretization schemes for the log-Heston model. CoRR abs/2106.10926 (2021)
2010 – 2019
- 2019
- [j11]Andreas Neuenkirch
, Michaela Szölgyenyi, Lukasz Szpruch:
An Adaptive Euler-Maruyama Scheme for Stochastic Differential Equations with Discontinuous Drift and its Convergence Analysis. SIAM J. Numer. Anal. 57(1): 378-403 (2019) - 2016
- [j10]Andreas Neuenkirch
The maximum rate of convergence for the approximation of the fractional Lévy area at a single point. J. Complex. 33: 107-117 (2016) - 2015
- [j9]Martin Altmayer, Andreas Neuenkirch
Multilevel Monte Carlo Quadrature of Discontinuous Payoffs in the Generalized Heston Model Using Malliavin Integration by Parts. SIAM J. Financial Math. 6(1): 22-52 (2015) - 2014
- [j8]Aicke Hinrichs, Andreas Neuenkirch
Guest Editors' Preface. J. Complex. 30(2): 1 (2014) - [j7]Andreas Neuenkirch
First order strong approximations of scalar SDEs defined in a domain. Numerische Mathematik 128(1): 103-136 (2014) - 2012
- [i1]Alexander Keller, Frances Y. Kuo, Andreas Neuenkirch, Joseph F. Traub:
Algorithms and Complexity for Continuous Problems (Dagstuhl Seminar 12391). Dagstuhl Reports 2(9): 200-225 (2012) - 2011
- [j6]Peter E. Kloeden, Andreas Neuenkirch
Multilevel Monte Carlo for stochastic differential equations with additive fractional noise. Ann. Oper. Res. 189(1): 255-276 (2011) - [j5]Peter E. Kloeden, Gabriel J. Lord
The exponential integrator scheme for stochastic partial differential equations: Pathwise error bounds. J. Comput. Appl. Math. 235(5): 1245-1260 (2011)
2000 – 2009
- 2009
- [j4]Andreas Neuenkirch
Asymptotic error distribution of the Euler method for SDEs with non-Lipschitz coefficients. Monte Carlo Methods Appl. 15(4): 333-351 (2009) - [j3]Arnulf Jentzen
Pathwise approximation of stochastic differential equations on domains: higher order convergence rates without global Lipschitz coefficients. Numerische Mathematik 112(1): 41-64 (2009) - 2007
- [j2]Peter E. Kloeden, Andreas Neuenkirch
The Pathwise Convergence of Approximation Schemes for Stochastic Differential Equations. LMS J. Comput. Math. 10: 235-253 (2007) - 2006
- [j1]Andreas Neuenkirch
Optimal approximation of SDE's with additive fractional noise. J. Complex. 22(4): 459-474 (2006)
Coauthor Index
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