Search Results - "Neuenkirch, A."

The Euler scheme for stochastic differential equations with discontinuous drift coefficient: a numerical study of the convergence rate by Göttlich, S., Lux, K., Neuenkirch, A.

“…The Euler scheme is one of the standard schemes to obtain numerical approximations of solutions of stochastic differential equations (SDEs). Its convergence…”
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A random Euler scheme for Carathéodory differential equations by Jentzen, A., Neuenkirch, A.

“…We study a random Euler scheme for the approximation of Carathéodory differential equations and give a precise error analysis. In particular, we show that…”
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The exponential integrator scheme for stochastic partial differential equations: Pathwise error bounds by Kloeden, P.E., Lord, G.J., Neuenkirch, A., Shardlow, T.

“…We present an error analysis for the pathwise approximation of a general semilinear stochastic evolution equation in d dimensions. We discretise in space by a…”
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Pathwise approximation of stochastic differential equations on domains: higher order convergence rates without global Lipschitz coefficients by Jentzen, A., Kloeden, P. E., Neuenkirch, A.

“…We study the approximation of stochastic differential equations on domains. For this, we introduce modified Itô–Taylor schemes, which preserve approximately…”
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Discretizing the fractional Lévy area by Neuenkirch, A., Tindel, S., Unterberger, J.

“…In this article, we give sharp bounds for the Euler discretization of the Lévy area associated to a d -dimensional fractional Brownian motion. We show that…”
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Exact Rate of Convergence of Some Approximation Schemes Associated to SDEs Driven by a Fractional Brownian Motion by Neuenkirch, Andreas, Nourdin, Ivan

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Delay equations driven by rough paths by Neuenkirch, Andreas, Nourdin, Ivan, Tindel, Samy

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The Euler scheme for stochastic differential equations with discontinuous drift coefficient: A numerical study of the convergence rate by Göttlich, S, Lux, K, Neuenkirch, A

“…The Euler scheme is one of the standard schemes to obtain numerical approximations of stochastic differential equations (SDEs). Its convergence properties are…”
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