Andreas Neuenkirch

Publication Activity (10 Years)

Years Active: 2006-2024
Publications (10 Years): 8

Top Topics

Data Compression

Top Venues

SIAM J. Numer. Anal.

SIAM J. Financial Math.

Publications

Simone Göttlich, Jacob Heieck, Andreas Neuenkirch
Using Low-Discrepancy Points for Data Compression in Machine Learning: An Experimental Comparison. CoRR (2024)
Timo Böhme, Simone Göttlich, Andreas Neuenkirch
A nonlocal traffic flow model with stochastic velocity. CoRR (2024)
Annalena Mickel, Andreas Neuenkirch
On the convergence order of the Euler scheme for scalar SDEs with Hölder-type diffusion coefficients. CoRR (2023)
Annalena Mickel, Andreas Neuenkirch
-Approximation of the log-Heston SDE by Euler-type methods. CoRR (2022)
Annalena Mickel, Andreas Neuenkirch
-approximation of the log-Heston SDE at a single point. CoRR (2022)
Annalena Mickel, Andreas Neuenkirch
The weak convergence order of two Euler-type discretization schemes for the log-Heston model. CoRR (2021)
Andreas Neuenkirch, Michaela Szölgyenyi, Lukasz Szpruch
An Adaptive Euler-Maruyama Scheme for Stochastic Differential Equations with Discontinuous Drift and its Convergence Analysis. SIAM J. Numer. Anal. 57 (1) (2019)
Andreas Neuenkirch, Taras Shalaiko
The maximum rate of convergence for the approximation of the fractional Lévy area at a single point. J. Complex. 33 (2016)
Martin Altmayer, Andreas Neuenkirch
Multilevel Monte Carlo Quadrature of Discontinuous Payoffs in the Generalized Heston Model Using Malliavin Integration by Parts. SIAM J. Financial Math. 6 (1) (2015)
Aicke Hinrichs, Andreas Neuenkirch, Erich Novak
Guest Editors' Preface. J. Complex. 30 (2) (2014)
Andreas Neuenkirch, Lukasz Szpruch
First order strong approximations of scalar SDEs defined in a domain. Numerische Mathematik 128 (1) (2014)
Alexander Keller, Frances Y. Kuo, Andreas Neuenkirch, Joseph F. Traub
Algorithms and Complexity for Continuous Problems (Dagstuhl Seminar 12391). Dagstuhl Reports 2 (9) (2012)
Peter E. Kloeden, Gabriel J. Lord, Andreas Neuenkirch, Tony Shardlow
The exponential integrator scheme for stochastic partial differential equations: Pathwise error bounds. J. Comput. Appl. Math. 235 (5) (2011)
Peter E. Kloeden, Andreas Neuenkirch, Raffaella Pavani
Multilevel Monte Carlo for stochastic differential equations with additive fractional noise. Ann. Oper. Res. 189 (1) (2011)
Arnulf Jentzen, Peter E. Kloeden, Andreas Neuenkirch
Pathwise approximation of stochastic differential equations on domains: higher order convergence rates without global Lipschitz coefficients. Numerische Mathematik 112 (1) (2009)
Andreas Neuenkirch, Henryk Zähle
Asymptotic error distribution of the Euler method for SDEs with non-Lipschitz coefficients. Monte Carlo Methods Appl. 15 (4) (2009)
Peter E. Kloeden, Andreas Neuenkirch
The Pathwise Convergence of Approximation Schemes for Stochastic Differential Equations. LMS J. Comput. Math. 10 (2007)
Andreas Neuenkirch
Optimal approximation of SDE's with additive fractional noise. J. Complex. 22 (4) (2006)