52 citations · 157 across the 19 of their papers we have counts for
8 papers · 1 filter
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…
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…
The Euler scheme for stochastic differential equations with discontinuous drift coefficient: A numerical study of the convergence rate
S. Göttlich, K. Lux, A. Neuenkirch
The Euler scheme is one of the standard schemes to obtain numerical approximations of stochastic differential equations (SDEs). Its convergence properties are well-known in the cas…