Andreas Neuenkirch

Delay equations driven by rough paths (2007)

Neuenkirch, Andreas, Nourdin, Ivan, Tindel, Samy

In this article, we illustrate the flexibility of the algebraic integration formalism introduced by M. Gubinelli (2004), by establishing an existence and uniqueness result for delay equations driven...

Delay equations driven by rough paths (2007)

Neuenkirch, Andreas, Nourdin, Ivan, Tindel, Samy

In this article, we illustrate the flexibility of the algebraic integration formalism introduced by M. Gubinelli (2004), by establishing an existence and uniqueness result for delay equations driven...

Delay equations driven by rough paths (2007)

Neuenkirch, Andreas, Nourdin, Ivan, Tindel, Samy

In this article, we illustrate the flexibility of the algebraic integration formalism introduced by M. Gubinelli (2004), by establishing an existence and uniqueness result for delay equations driven...

Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion (2007)

Neuenkirch, Andreas

We study the approximation of stochastic differential equations driven by a fractional Brownian motion with Hurst parameter $H>1/2$. For the mean-square error at a single point we derive the optimal...

Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion (2006)

Neuenkirch, Andreas, Nourdin, Ivan

In this paper, we derive the exact rate of convergence of some approximation schemes associated to scalar stochastic differential equations driven by a fractional Brownian motion with Hurst index H.

Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion (2006)

Neuenkirch, Andreas, Nourdin, Ivan

In this paper, we derive the exact rate of convergence of some approximation schemes associated to scalar stochastic differential equations driven by a fractional Brownian motion with Hurst index H.

Trees and asymptotic developments for fractional stochastic differential equations (2006)

Neuenkirch, Andreas, Nourdin, Ivan, Roessler, Andreas, Tindel, Samy

In this paper we consider a n-dimensional stochastic differential equation driven by a fractional Brownian motion with Hurst parameter H>1/3. After solving this equation in a rather elementary way,...

Trees and asymptotic developments for fractional stochastic differential equations (2006)

Neuenkirch, Andreas, Nourdin, Ivan, Roessler, Andreas, Tindel, Samy

In this paper we consider a n-dimensional stochastic differential equation driven by a fractional Brownian motion with Hurst parameter H>1/3. After solving this equation in a rather elementary way,...

Trees and asymptotic developments for fractional stochastic differential equations (2006)

Neuenkirch, Andreas, Nourdin, Ivan, Roessler, Andreas, Tindel, Samy

In this paper we consider a n-dimensional stochastic differential equation driven by a fractional Brownian motion with Hurst parameter H>1/3. After solving this equation in a rather elementary way,...

Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion (2006)

Neuenkirch, Andreas, Nourdin, Ivan

In this paper, we derive the exact rate of convergence of some approximation schemes associated to scalar stochastic differential equations driven by a fractional Brownian motion with Hurst index H.

Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion (2006)

Neuenkirch, Andreas, Nourdin, Ivan

In this paper, we derive the exact rate of convergence of some approximation schemes associated to scalar stochastic differential equations driven by a fractional Brownian motion with Hurst index H.

Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion (2006)

Neuenkirch, Andreas, Nourdin, Ivan

In this paper, we derive the exact rate of convergence of some approximation schemes associated to scalar stochastic differential equations driven by a fractional Brownian motion with Hurst index H.

Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion (2006)

Neuenkirch, Andreas, Nourdin, Ivan

In this paper, we derive the exact rate of convergence of some approximation schemes associated to scalar stochastic differential equations driven by a fractional Brownian motion with Hurst index H.

Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion (2006)

Neuenkirch, Andreas, Nourdin, Ivan

In this paper, we derive the exact rate of convergence of some approximation schemes associated to scalar stochastic differential equations driven by a fractional Brownian motion with Hurst index H.