Neuenkirch, Andreas: search on Z-Library

The world's largest scientific articles store. 70,000,000+ articles for free.

Don't use scam websites

1

Multilevel Monte Carlo for stochastic differential equations with additive fractional noise

Peter E. Kloeden, Andreas Neuenkirch, Raffaella Pavani

Journal:

Annals of Operations Research

Year:

2011

Language:

english

File:

PDF, 707 KB

english, 2011

2

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

Andreas Neuenkirch, Ivan Nourdin

Journal:

Journal of Theoretical Probability

Year:

2007

Language:

english

File:

PDF, 549 KB

english, 2007

3

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

Altmayer, Martin, Neuenkirch, Andreas

Journal:

SIAM Journal on Financial Mathematics

Year:

2015

Language:

english

File:

PDF, 880 KB

english, 2015

4

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

Neuenkirch, Andreas, Shalaiko, Taras

Journal:

Journal of Complexity

Year:

2016

Language:

english

File:

PDF, 374 KB

english, 2016

5

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

Andreas Neuenkirch

Journal:

Stochastic Processes and their Applications

Year:

2008

Language:

english

File:

PDF, 1.27 MB

english, 2008

6

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

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

Journal:

Applied Mathematics & Optimization

Year:

2009

Language:

english

File:

PDF, 436 KB

english, 2009

7

Optimal approximation of SDE's with additive fractional noise

Andreas Neuenkirch

Journal:

Journal of Complexity

Year:

2006

Language:

english

File:

PDF, 183 KB

english, 2006

8

First order strong approximations of scalar SDEs defined in a domain

Neuenkirch, Andreas, Szpruch, Lukasz

Journal:

Numerische Mathematik

Year:

2014

Language:

english

File:

PDF, 361 KB

english, 2014

9

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

Neuenkirch, Andreas, Tindel, Samy

Journal:

Statistical Inference for Stochastic Processes

Year:

2014

Language:

english

File:

PDF, 291 KB

english, 2014

10

Guest Editors’ Preface

Hinrichs, Aicke, Neuenkirch, Andreas, Novak, Erich

Journal:

Journal of Complexity

Year:

2014

Language:

english

File:

PDF, 110 KB

english, 2014

11

Synchronization of noisy dissipative systems under discretization

Kloeden, Peter E., Neuenkirch, Andreas, Pavani, Raffaella

Journal:

Journal of Difference Equations and Applications

Year:

2009

Language:

english

File:

PDF, 338 KB

english, 2009

12

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

Neuenkirch, Andreas, Zähle, Henryk

Journal:

Monte Carlo Methods and Applications

Year:

2009

Language:

english

File:

PDF, 212 KB

english, 2009

13

SYNCHRONIZATION OF SYSTEMS WITH MULTIPLICATIVE NOISE

CARABALLO, TOMÁS, KLOEDEN, PETER E., NEUENKIRCH, ANDREAS

Journal:

Stochastics and Dynamics

Year:

2008

Language:

english

File:

PDF, 222 KB

english, 2008

14

The Relation Between Mixed and Rough SDEs and Its Application to Numerical Methods

Neuenkirch, Andreas, Shalaiko, Taras

Journal:

Stochastic Analysis and Applications

Year:

2015

File:

PDF, 390 KB

2015

15

The Relation Between Mixed and Rough SDEs and Its Application to Numerical Methods

Neuenkirch, Andreas, Shalaiko, Taras

Journal:

Stochastic Analysis and Applications

Year:

2015

Language:

english

File:

PDF, 390 KB

english, 2015

16

An Euler-type method for the strong approximation of the Cox—Ingersoll—Ross process

Steffen Dereich, Andreas Neuenkirch and Lukasz Szpruch

Journal:

Proceedings Mathematical Physical & Engineering Sciences

Year:

2012

Language:

english

File:

PDF, 835 KB

english, 2012

17

Optimal Approximation of Skorohod Integrals

Neuenkirch, Andreas, Parczewski, Peter

Journal:

Journal of Theoretical Probability

Year:

2016

Language:

english

File:

PDF, 586 KB

english, 2016

18

An Euler scheme for stochastic delay differential equations on unbounded domains: Pathwise convergence

Neuenkirch, Andreas, Babolian, Esmail, Akhtari, Bahareh

Journal:

Discrete and Continuous Dynamical Systems - Series B

Year:

2014

Language:

english

File:

PDF, 782 KB

english, 2014

19

Asymptotical Stability of Differential Equations Driven by Hölder Continuous Paths

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

Journal:

Journal of Dynamics and Differential Equations

Year:

2017

Language:

english

File:

PDF, 507 KB

english, 2017

20

Grexit news and stock returns

Haupenthal, Andreas, Neuenkirch, Matthias

Journal:

Applied Economics

Year:

2017

Language:

english

File:

PDF, 1.17 MB

english, 2017

21

Discretising the Heston model: an analysis of the weak convergence rate

Altmayer, Martin, Neuenkirch, Andreas

Journal:

IMA Journal of Numerical Analysis

Year:

2017

Language:

english

File:

PDF, 548 KB

english, 2017

22

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

Neuenkirch, Andreas, Szölgyenyi, Michaela, Szpruch, Lukasz

Journal:

SIAM Journal on Numerical Analysis

Year:

2019

File:

PDF, 444 KB

2019

23

The EulerâMaruyama scheme for SDEs with irregular drift: convergence rates via reduction to a quadrature problem.

Neuenkirch, Andreas, SzÃ¶lgyenyi, Michaela

Journal:

IMA Journal of Numerical Analysis

Year:

2020

File:

PDF, 386 KB

2020