26 citations · 76 across the 10 of their papers we have counts for
4 papers · 1 filter
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…
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…
Counterexamples to regularities for the derivative processes associated to stochastic evolution equations
Mario Hefter, Arnulf Jentzen, Ryan Kurniawan
In the recent years there has been an increased interest in studying regularity properties of the derivatives of stochastic evolution equations (SEEs) with respect to their initial…
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…