Andreas Neuenkirch

20 papers Journal 20
YearRankTypeTitle / Venue / Authors
2026 J jnl
Stochastic nonlocal traffic flow models with Markovian noise.
CoRR
Timo Böhme, Simone Göttlich, Andreas Neuenkirch
2024 J jnl
A nonlocal traffic flow model with stochastic velocity.
CoRR
Timo Böhme, Simone Göttlich, Andreas Neuenkirch
2024 J jnl
A strong order 1.5 boundary preserving discretization scheme for scalar SDEs defined in a domain.
Math. Comput.
Ruishu Liu, Andreas Neuenkirch, Xiaojie Wang
2024 J jnl
Using Low-Discrepancy Points for Data Compression in Machine Learning: An Experimental Comparison.
CoRR
Simone Göttlich, Jacob Heieck, Andreas Neuenkirch
2023 J jnl
On the convergence order of the Euler scheme for scalar SDEs with Hölder-type diffusion coefficients.
CoRR
Annalena Mickel, Andreas Neuenkirch
2022 J jnl
Sharp L
CoRR
Annalena Mickel, Andreas Neuenkirch
2022 J jnl
The order barrier for the L
CoRR
Annalena Mickel, Andreas Neuenkirch
2021 J jnl
The weak convergence order of two Euler-type discretization schemes for the log-Heston model.
CoRR
Annalena Mickel, Andreas Neuenkirch
2019 J jnl
An Adaptive Euler-Maruyama Scheme for Stochastic Differential Equations with Discontinuous Drift and its Convergence Analysis.
SIAM J. Numer. Anal.
Andreas Neuenkirch, Michaela Szölgyenyi, Lukasz Szpruch
2016 J jnl
The maximum rate of convergence for the approximation of the fractional Lévy area at a single point.
J. Complex.
Andreas Neuenkirch, Taras Shalaiko
2015 J jnl
Multilevel Monte Carlo Quadrature of Discontinuous Payoffs in the Generalized Heston Model Using Malliavin Integration by Parts.
SIAM J. Financial Math.
Martin Altmayer, Andreas Neuenkirch
2014 J jnl
First order strong approximations of scalar SDEs defined in a domain.
Numerische Mathematik
Andreas Neuenkirch, Lukasz Szpruch
2014 J jnl
Guest Editors' Preface.
J. Complex.
Aicke Hinrichs, Andreas Neuenkirch, Erich Novak
2012 J jnl
Algorithms and Complexity for Continuous Problems (Dagstuhl Seminar 12391).
Dagstuhl Reports
Alexander Keller, Frances Y. Kuo, Andreas Neuenkirch, Joseph F. Traub
2011 J jnl
Multilevel Monte Carlo for stochastic differential equations with additive fractional noise.
Ann. Oper. Res.
Peter E. Kloeden, Andreas Neuenkirch, Raffaella Pavani
2011 J jnl
The exponential integrator scheme for stochastic partial differential equations: Pathwise error bounds.
J. Comput. Appl. Math.
Peter E. Kloeden, Gabriel J. Lord, Andreas Neuenkirch, Tony Shardlow
2009 J jnl
Asymptotic error distribution of the Euler method for SDEs with non-Lipschitz coefficients.
Monte Carlo Methods Appl.
Andreas Neuenkirch, Henryk Zähle
2009 J jnl
Pathwise approximation of stochastic differential equations on domains: higher order convergence rates without global Lipschitz coefficients.
Numerische Mathematik
Arnulf Jentzen, Peter E. Kloeden, Andreas Neuenkirch
2007 J jnl
The Pathwise Convergence of Approximation Schemes for Stochastic Differential Equations.
LMS J. Comput. Math.
Peter E. Kloeden, Andreas Neuenkirch
2006 J jnl
Optimal approximation of SDE's with additive fractional noise.
J. Complex.
Andreas Neuenkirch