26 citations · 76 across the 10 of their papers we have counts for
Showing 2017 · math.NAShow all
3 papers · 2 filters
math.NA2017
Lower Error Bounds for Strong Approximation of Scalar SDEs with non-Lipschitzian Coefficients
Mario Hefter, André Herzwurm, Thomas Müller-Gronbach
We study pathwise approximation of scalar stochastic differential equations at a single time point or globally in time by means of methods that are based on finitely many observati…
math.NA2017
Random Bit Quadrature and Approximation of Distributions on Hilbert Spaces
Michael B. Giles, Mario Hefter, Lukas Mayer +1
We study the approximation of expectations $\E(f(X))$ for Gaussian random elements with values in a separable Hilbert space and Lipschitz continuous functionals $f \colon H…
math.NA2017★ 26 cited
On arbitrarily slow convergence rates for strong numerical approximations of Cox-Ingersoll-Ross processes and squared Bessel processes
Mario Hefter, Arnulf Jentzen
Cox-Ingersoll-Ross (CIR) processes are extensively used in state-of-the-art models for the approximative pricing of financial derivatives. In particular, CIR processes are day afte…