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Andreas Neuenkirch

Identifiers

  • name variant Andreas Neuenkirch 0.60 · backfill

Papers (15)

  1. An adaptive Euler-Maruyama scheme for stochastic differential equations with discontinuous drift and its convergence analysis math.NA · 2018 · author #1
  2. Exponential stability of stochastic evolution equations driven by small fractional Brownian motion with Hurst parameter in $(1/2,1)$ math.AP · 2017 · author #3
  3. Optimal approximation of Skorohod integrals math.PR · 2016 · author #1
  4. The Order Barrier for Strong Approximation of Rough Volatility Models math.PR · 2016 · author #1
  5. Asymptotical stability of differential equations driven by H\"older--continuous paths math.DS · 2016 · author #2
  6. Discretizing the Heston Model: An Analysis of the Weak Convergence Rate math.NA · 2016 · author #2
  7. The relation between mixed and rough SDEs and its application to numerical methods math.PR · 2015 · author #1
  8. First order strong approximations of scalar SDEs with values in a domain q-fin.CP · 2012 · author #1
  9. Convergence of numerical methods for stochastic differential equations in mathematical finance math.NA · 2012 · author #2
  10. A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise math.PR · 2011 · author #1
  11. A Milstein-type scheme without Levy area terms for SDEs driven by fractional Brownian motion math.PR · 2010 · author #2
  12. Discretizing the fractional Levy area math.PR · 2009 · author #1
  13. Delay equations driven by rough paths math.PR · 2007 · author #1
  14. Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion math.PR · 2007 · author #1
  15. Trees and asymptotic developments for fractional stochastic differential equations math.PR · 2006 · author #1

Mentions

  • 1802.04521 #1 · arxiv_oai · confidence 0.70 Andreas Neuenkirch
  • 1606.03854 #1 · arxiv_oai · confidence 0.70 Andreas Neuenkirch
  • 1604.05540 #2 · arxiv_oai · confidence 0.70 Andreas Neuenkirch
  • 1209.0390 #1 · arxiv_oai · confidence 0.70 Andreas Neuenkirch
  • 1204.6620 #2 · arxiv_oai · confidence 0.70 Andreas Neuenkirch
  • 0706.2636 #1 · arxiv_oai · confidence 0.70 Andreas Neuenkirch
  • 1504.07211 #1 · backfill · confidence 0.70 Andreas Neuenkirch
  • 1209.0390 #1 · backfill · confidence 0.70 Andreas Neuenkirch
  • 1204.6620 #2 · backfill · confidence 0.70 Andreas Neuenkirch
  • 1111.1816 #1 · backfill · confidence 0.70 Andreas Neuenkirch
  • 1001.3344 #2 · backfill · confidence 0.70 Andreas Neuenkirch
  • 0902.0497 #1 · backfill · confidence 0.70 Andreas Neuenkirch
  • 0711.2633 #1 · backfill · confidence 0.70 Andreas Neuenkirch
  • 0706.2636 #1 · backfill · confidence 0.70 Andreas Neuenkirch

Frequent Coauthors