Photo credit: Anna Logue

Research

Currently, we focus on questions arising in

stochastic numerics,
information based complexity,
stochastic analysis,

in particular, on numerical methods for stochastic differential equations (non-standard assumptions, quadrature problems and lower error bounds) as well as on topics related to fractional Brownian motion.

See also the individual profil pages of each researcher.

Publications of the Chair in the last 5 years

Articles
Dissertations

Mickel, A. und Neuenkirch, A. (2021). The weak convergence rate of two semi-exact discretization schemes for the Heston model. Risks : Open Access Journal, 9, Article 23.
Neuenkirch, A. und Szölgyenyi, M. (2020). The Euler-Maruyama scheme for SDEs with irregular drift: convergence rates via reduction to a quadrature problem. IMA Journal of Numerical Analysis : IMAJNA, 1-28.
Göttlich, S., Lux, K. und Neuenkirch, A. (2019). The Euler scheme for stochastic differential equations with discontinuous drift coefficient: a numerical study of the convergence rate. Advances in Difference Equations : ADE, 2019, 1-21.
Koch, S. und Neuenkirch, A. (2019). The Mandelbrot-van Ness fractional Brownian motion is infinitely differentiable with respect to its Hurst parameter. Discrete and Continuous Dynamical Systems : DCDS. Series B, 24, 3865-3880.
Neuenkirch, A., Szölgyenyi, M. und Szpruch, L. (2019). An adaptive Euler-Maruyama scheme for stochastic differential equations with discontinuous drift and its convergence analysis. SIAM Journal on Numerical Analysis, 57, 378-403.
Bender, C. und Parczewski, P. (2018). Discretizing Malliavin calculus. Stochastic Processes and Their Applications, 128, 2489 - 2537.
Duc, L. H., Garrido-Atienza, M. J., Neuenkirch, A. und Schmalfuß, B. (2018). Exponential stability of stochastic evolution equations driven by small fractional Brownian motion with Hurst parameter in (1/2,1). Journal of Differential Equations, 264, 1119-1145.
Garrido-Atienza, M. J., Neuenkirch, A. und Schmalfuß, B. (2018). Asymptotical stability of differential equations driven by Hölder continuous paths. Journal of Dynamics and Differential Equations, 30, 359-377.
Koch, S. (2018). Directional Malliavin derivatives: A characterisation of independence and a generalised chain rule. Communications on Stochastic Analysis, 12, 137-156.
Neuenkirch, A. und Parczewski, P. (2018). Optimal approximation of skorohod integrals. Journal of Theoretical Probability, 31, 206-231.
Altmayer, M. und Neuenkirch, A. (2017). Discretising the Heston model: an analysis of the weak convergence rate. IMA Journal of Numerical Analysis : IMAJNA, 37, 1930-1960.
Parczewski, P. (2017). Donsker-type theorems for correlated geometric fractional Brownian motions and related processes. Electronic Communications in Probability : ECP, 22, 1-13.
Parczewski, P. (2017). Extensions of the Hitsuda–Skorokhod integral. Communications on Stochastic Analysis, 11, 479-490.
Parczewski, P. (2017). Optimal approximation of Skorohod integrals - examples with substandard rates. Communications on Stochastic Analysis, 11, 43-61.
Parczewski, P. (2017). The self-normalized Donsker theorem revisited. Modern Stochastics: Theory and Applications, 4, 189-198.
Neuenkirch, A. und Shalaiko, T. (2016). The maximum rate of convergence for the approximation of the fractional Lévy area at a single point. Journal of Complexity, 33, 107-117.

Koch, S. (2019). Sensitivity results in stochastic analysis. Dissertation, . Mannheim.

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