M. Hefter

activity

20162020

most citedOn arbitrarily slow convergence rates for strong numerical approximations of Cox-Ingersoll-Ross processes and squared Bessel processes

26 citations · 76 across the 10 of their papers we have counts for

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Showing 2016 · math.NAShow all

3 papers · 2 filters

math.NA2016★ 1 cited

Equivalence of Weighted Anchored and ANOVA Spaces of Functions with Mixed Smoothness of Order one in $L_{p}$

Michael Gnewuch, Mario Hefter, Aicke Hinrichs +2

We consider $γ$ -weighted anchored and ANOVA spaces of functions with mixed first order partial derivatives bounded in a weighted $L_{p}$ norm with $1 \leq p \leq \infty$ . The domain…

math.NA2016★ 15 cited

Embeddings of Weighted Hilbert Spaces and Applications to Multivariate and Infinite-Dimensional Integration

Michael Gnewuch, Mario Hefter, Aicke Hinrichs +1

We study embeddings and norm estimates for tensor products of weighted reproducing kernel Hilbert spaces. These results lead to a transfer principle that is directly applicable to…

math.NA2016

Strong Convergence Rates for Cox-Ingersoll-Ross Processes - Full Parameter Range

Mario Hefter, André Herzwurm

We study strong (pathwise) approximation of Cox-Ingersoll-Ross processes. We propose a Milstein-type scheme that is suitably truncated close to zero, where the diffusion coefficien…

Equivalence of Weighted Anchored and ANOVA Spaces of Functions with Mixed Smoothness of Order one in Lp​

Embeddings of Weighted Hilbert Spaces and Applications to Multivariate and Infinite-Dimensional Integration

Strong Convergence Rates for Cox-Ingersoll-Ross Processes - Full Parameter Range

Equivalence of Weighted Anchored and ANOVA Spaces of Functions with Mixed Smoothness of Order one in $L_{p}$