Credit: Anna Logue
I am Associate Editor of the Journal of Complexity and of Discrete & Continuous Dynamical Systems – B, and I am a co-organizer of the International Seminar on SDEs and Related Topics.
Furthermore, I used to be a member of the DFG-Schwerpunktprogramm 1324, of the DFG-Graduiertenkolleg 1953 “Statistical Modeling of Complex Systems and Processes” and my chair organized the MCM 2021 in Mannheim.
Finally, I have been dean of education of our faculty and director of the mathematical institute.
Publications
See also arXiv or Google Scholar or Zentralblatt.
- Mickel, A. and Neuenkirch, A. (2023). Sharp L1-approximation of the log-Heston stochastic differential equation by Euler-type methods. The Journal of Computational Finance, 26, 67–100.
- Mickel, A. and Neuenkirch, A. (2023). The weak convergence order of two Euler-type discretization schemes for the log-Heston model. IMA Journal of Numerical Analysis : IMAJNA, 43, 3326-3356.
- Mickel, A. and 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. and Szölgyenyi, M. (2021). The Euler-Maruyama scheme for SDEs with irregular drift: convergence rates via reduction to a quadrature problem. IMA Journal of Numerical Analysis : IMAJNA, 41, 1164-1196.
- Göttlich, S., Lux, K. and 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. and 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. and 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.
- Duc, L. H., Garrido-Atienza, M. J., Neuenkirch, A. and 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. and Schmalfuß, B. (2018). Asymptotical stability of differential equations driven by Hölder continuous paths. Journal of Dynamics and Differential Equations, 30, 359–377.
- Neuenkirch, A. and Parczewski, P. (2018). Optimal approximation of skorohod integrals. Journal of Theoretical Probability, 31, 206–231.
- Altmayer, M. and Neuenkirch, A. (2017). Discretising the Heston model: an analysis of the weak convergence rate. IMA Journal of Numerical Analysis : IMAJNA, 37, 1930-1960.
- Neuenkirch, A. and 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.
- Akhtari, B., Babolian, E. and Neuenkirch, A. (2015). An Euler scheme for stochastic delay differential equations on unbounded domains: pathwise convergence. Discrete and Continuous Dynamical Systems : DCDS. Series B, 20, 23–38.
- Altmayer, M. and Neuenkirch, A. (2015). Multilevel Monte Carlo quadrature of discontinuous payoffs in the generalized Heston model using Malliavin integration by parts. SIAM Journal on Financial Mathematics : SIFIN, 6, 22–52.
- Neuenkirch, A. and Shalaiko, T. (2015). The relation between mixed and rough SDEs and its application to numerical methods. Stochastic Analysis and Applications, 33, 927–942.
- Hinrichs, A., Neuenkirch, A. and Novak, E. (2014). Guest editors' preface. Journal of Complexity, 30, 1.
- Neuenkirch, A. and Szpruch, L. (2014). First order strong approximations of scalar SDEs defined in a domain. Numerische Mathematik, 128, 103–136.
- Neuenkirch, A. and Tindel, S. (2014). A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise. Statistical Inference for Stochastic Processes, 17, 99–120.
- Dereich, S., Neuenkirch, A. and Szpruch, L. (2012). An Euler-type method for the strong approximation of the Cox-Ingersoll-Ross process. Proceedings / Section A, Mathematics, 468, 1105-1115.
- Deya, A., Neuenkirch, A. and Tindel, S. (2012). A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion. Annales de l'Institut Henri Poincaré. B, Probabilité et statistiques, 48, 518–550.
- Kloeden, P. E., Lord, G. J., Neuenkirch, A. and Shardlow, T. (2011). The exponential integrator scheme for stochastic partial differential equations: Pathwise error bounds. Journal of Computational and Applied Mathematics, 235, 1245-1260.
- Kloeden, P. E., Neuenkirch, A. and Pavani, R. (2011). Multilevel Monte Carlo for stochastic differential equations with additive fractional noise. Annals of Operations Research, 189, 255–276.
- Neuenkirch, A., Tindel, S. and Unterberger, J. (2010). Discretizing the fractional Lévy area. Stochastic Processes and Their Applications, 120, 223–254.
- Garrido-Atienza, M. J., Kloeden, P. E. and Neuenkirch, A. (2009). Discretization of stationary solutions of stochastic systems driven by fractional Brownian motion. Applied Mathematics and Optimization, 60, 151–172.
- Jentzen, A., Kloeden, P. E. and Neuenkirch, A. (2009). Pathwise approximation of stochastic differential equations on domains: higher order convergence rates without global Lipschitz coefficients. Numerische Mathematik, 112, 41–64.
- Jentzen, A. and Neuenkirch, A. (2009). A random Euler scheme for Carathéodory differential equations. Journal of Computational and Applied Mathematics, 224, 346–359.
- Kloeden, P. E., Neuenkirch, A. and Pavani, R. (2009). Synchronization of noisy dissipative systems under discretization. Journal of Difference Equations and Applications, 15, 785–801.
- Neuenkirch, A., Nourdin, I., Rößler, A. and Tindel, S. (2009). Trees and asymptotic expansions for fractional stochastic differential equations. Annales de l'Institut Henri Poincaré. B, Probabilité et statistiques, 45, 157–174.
- Neuenkirch, A. and Zähle, H. (2009). Asymptotic error distribution of the Euler method for SDEs with non-Lipschitz coefficients. Monte Carlo Methods and Applications, 15, 333–351.
- Kloeden, P. E., Neuenkirch, A. and Caraballo, T. (2008). Synchronization of systems with multiplicative noise. Stochastics and Dynamics : SD, 8, 139–154.
- Neuenkirch, A. (2008). Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion. Stochastic Processes and Their Applications, 118, 2294-2333.
- Neuenkirch, A., Nourdin, I. and Tindel, S. (2008). Delay equations driven by rough paths. Electronic Journal of Probability : EJP, 13, 2031–2068.
- Kloeden, P. E. and Neuenkirch, A. (2007). The pathwise convergence of approximation schemes for stochastic differential equations. LMS Journal of Computation and Mathematics, 10, 235–253.
- Neuenkirch, A. and Nourdin, I. (2007). Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion. Journal of Theoretical Probability, 20, 871–899.
- Neuenkirch, A. (2006). Optimal approximation of SDE's with additive fractional noise. Journal of Complexity, 22, 459–474.
- Jentzen, A., Kloeden, P. E. and Neuenkirch, A. (2009). Pathwise convergence of numerical schemes for random and stochastic differential equations. In , Foundations of Computational Mathematics, Hong Kong 2008 (S. 140–161). London Mathematical Society Lecture Note Series, Cambridge University Press: Cambridge.
- Neuenkirch, A. (2006). Optimal approximation of stochastic differential equations with additive fractional noise. Aachen: Shaker.
- Altmayer, M., Dereich, S., Li, S., Müller-Gronbach, T., Neuenkirch, A., Ritter, K. and Yaroslavtseva, L. (2014). Constructive quantization and multilevel algorithms for quadrature of stochastic differential equations. In Extraction of Quantifiable Information from Complex Systems (S. 109–132). Cham: Springer International Publishing.
- Kloeden, P. E. and Neuenkirch, A. (2013). Convergence of numerical methods for stochastic differential equations in mathematical finance. In Recent Developments in Computational Finance (S. 49–80). New Jersey, NJ [u.a.]: World Scientific.
- Caraballo, T., Kloeden, P. E., Neuenkirch, A. and Pavani, R. (2008). Synchronization of dissipative systems with additive and linear noise. In Festschrift in celebration of Prof. Dr. Wilfried Grecksch's 60th birthday (S. 25–47). Aachen: Shaker.
- Neuenkirch, A. (2021). D. Higham, P. Kloeden: “An introduction to the numerical simulation of stochastic differential equations”. Review, Jahresbericht der Deutschen Mathematiker-Vereinigung