67 citations · 296 across the 28 of their papers we have counts for
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A Strong Order 1/2 Method for Multidimensional SDEs with Discontinuous Drift
Gunther Leobacher, Michaela Szölgyenyi
In this paper we consider multidimensional stochastic differential equations (SDEs) with discontinuous drift and possibly degenerate diffusion coefficient. We prove an existence an…
Fast orthogonal transforms for multi-level quasi-Monte Carlo integration
Christian Irrgeher, Gunther Leobacher
We combine a generic method for finding fast orthogonal transforms for a given quasi-Monte Carlo integration problem with the multilevel Monte Carlo method. It is shown by example…
Fast Orthogonal transforms for pricing derivatives with quasi-Monte Carlo
Christian Irrgeher, Gunther Leobacher
There are a number of situations where, when computing prices of financial derivatives using quasi-Monte Carlo (QMC), it turns out to be beneficial to apply an orthogonal transform…
Construction algorithms for plane nets in base
Gunther Leobacher, Friedrich Pillichshammer, Thomas Schell
The class of -nets in base has been introduced by Niederreiter as examples of point sets in the -dimensional unit cube with excellent uniform distribution propertie…
A Numerical Method for SDEs with Discontinuous Drift
Gunther Leobacher, Michaela Szölgyenyi
In this paper we introduce a transformation technique, which can on the one hand be used to prove existence and uniqueness for a class of SDEs with discontinuous drift coefficient.…