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

collaborators

Showing 2018Show all

2 papers · 1 filter

math.NA2018★ 12 cited

Embeddings for Infinite-Dimensional Integration and $L_{2}$ -Approximation with Increasing Smoothness

M. Gnewuch, M. Hefter, A. Hinrichs +2

We study integration and $L_{2}$ -approximation on countable tensor products of function spaces of increasing smoothness. We obtain upper and lower bounds for the minimal errors, whic…

math.NA2018

Random Bit Multilevel Algorithms for Stochastic Differential Equations

Michael B. Giles, Mario Hefter, Lukas Mayer +1

We study the approximation of expectations $\E(f(X))$ for solutions $X$ of SDEs and functionals $f : C ([0, 1], R^{r}) \to R$ by means of restricted Monte Carlo algorithms that m…

Embeddings for Infinite-Dimensional Integration and L2​-Approximation with Increasing Smoothness

Random Bit Multilevel Algorithms for Stochastic Differential Equations

Embeddings for Infinite-Dimensional Integration and $L_{2}$ -Approximation with Increasing Smoothness