52 citations · 157 across the 19 of their papers we have counts for
22 papers
On the convergence order of the Euler scheme for scalar SDEs with Hölder-type diffusion coefficients
Annalena Mickel, Andreas Neuenkirch
We study the Euler scheme for scalar non-autonomous stochastic differential equations, whose diffusion coefficient is not globally Lipschitz but a fractional power of a globally Li…
The order barrier for the -approximation of the log-Heston SDE at a single point
Annalena Mickel, Andreas Neuenkirch
We study the -approximation of the log-Heston SDE at the terminal time point by arbitrary methods that use an equidistant discretization of the driving Brownian motion. We sho…
Sharp -Approximation of the log-Heston SDE by Euler-type methods
Annalena Mickel, Andreas Neuenkirch
We study the -approximation of the log-Heston SDE at equidistant time points by Euler-type methods. We establish the convergence order for arbitrarily small, if…
The weak convergence order of two Euler-type discretization schemes for the log-Heston model
Annalena Mickel, Andreas Neuenkirch
We study the weak convergence order of two Euler-type discretizations of the log-Heston Model where we use symmetrization and absorption, respectively, to prevent the discretizatio…
The Euler-Maruyama Scheme for SDEs with Irregular Drift: Convergence Rates via Reduction to a Quadrature Problem
Andreas Neuenkirch, Michaela Szölgyenyi
We study the strong convergence order of the Euler-Maruyama scheme for scalar stochastic differential equations with additive noise and irregular drift. We provide a general framew…
An adaptive Euler-Maruyama scheme for stochastic differential equations with discontinuous drift and its convergence analysis
Andreas Neuenkirch, Michaela Szölgyenyi, Lukasz Szpruch
We study the strong approximation of stochastic differential equations with discontinuous drift coefficients and (possibly) degenerate diffusion coefficients. To account for the di…