52 citations · 157 across the 19 of their papers we have counts for
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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…
Optimal approximation of Skorohod integrals
Andreas Neuenkirch, Peter Parczewski
In this manuscript, we determine the optimal approximation rate for Skorohod integrals of sufficiently regular integrands. This generalizes the optimal approximation results for It…
The Order Barrier for Strong Approximation of Rough Volatility Models
Andreas Neuenkirch, Taras Shalaiko
We study the strong approximation of a rough volatility model, in which the log-volatility is given by a fractional Ornstein-Uhlenbeck process with Hurst parameter . Our met…
The relation between mixed and rough SDEs and its application to numerical methods
Andreas Neuenkirch, Taras Shalaiko
We study the relationship between mixed stochastic differential equations and the corresponding rough path equations driven by standard Brownian motion and fractional Brownian moti…
A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise
Andreas Neuenkirch, Samy Tindel
We study a least square-type estimator for an unknown parameter in the drift coefficient of a stochastic differential equation with additive fractional noise of Hurst parameter H>1…
A Milstein-type scheme without Levy area terms for SDEs driven by fractional Brownian motion
Aurélien Deya, Andreas Neuenkirch, Samy Tindel
In this article, we study the numerical approximation of stochastic differential equations driven by a multidimensional fractional Brownian motion (fBm) with Hurst parameter greate…