Andreas Neuenkirch Technische Universität Dortmund Fakultät für Mathematik Vogelpothsweg 87 D-44227 Dortmund Germany

room: phone: fax: email:

M 625 0049-231-755-3099 0049-231-755-3064 Andreas.Neuenkirch {@}math.tu-dortmund.de

I have moved to the TU Kaiserslautern.

Teaching

• WS10/11: Seminar: Stochastik für Lehramt
• SS10: Stochastik I
• WS09/10: tutorials for Analysis I and interim professor at the University Duisburg-Essen
• SS09: tutorials for Stochastik I

Research interests

• fractional Brownian motion
  
• stochastic differential equations under non-standard assumptions
  
• approximation of stochastic differential equations
  

Publications

Articles in journals

• Aurélien Deya, Andreas Neuenkirch and Samy Tindel. A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion. Annales de l’Institut Henri Poincaré, to appear
• Gabriel J. Lord, Peter E. Kloeden, Andreas Neuenkirch and Tony Shardlow. The exponential integrator scheme for stochastic partial differential equations: Pathwise error bounds. Journal of Computational and Applied Mathematics, to appear
  
• Peter E. Kloeden, Andreas Neuenkirch and Raffaella Pavani. Multilevel Monte Carlo for SDEs with Additive Fractional Noise. Annals of Operations Research, to appear.
  
• Andreas Neuenkirch, Samy Tindel and Jérémie Unterberger. Discretizing the fractional Lévy area. Stochastic Processes and their Applications, 120(2), p. 223-254, 2010.
  
• Andreas Neuenkirch and Henryk Zähle. Asymptotic error distribution of the Euler method for SDEs with non-Lipschitz coefficients. Monte Carlo Methods and Applications, 15(4), p.335-353, 2009
  
• María José Garrido Atienza, Peter E. Kloeden and Andreas Neuenkirch. Discretization of the attractor of a system driven by fractional Brownian motion. Applied Mathematics and Optimization 60(2), p. 151-172, 2009.
  
• Peter E. Kloeden, Andreas Neuenkirch and Raffaella Pavani. Synchronization of noisy dissipative systems under discretization. Journal of Difference Equations and Applications 15, p. 785 - 801, 2009.
  
• Andreas Neuenkirch, Ivan Nourdin, Andreas Rößler and Samy Tindel. Trees and asymptotic expansions for fractional stochastic differential equations. Annales de l'Institut Henri Poincare (B) Probability and Statistics, 45(1), p. 157-174, 2009.
  
• Arnulf Jentzen, Peter E. Kloeden and Andreas Neuenkirch. Pathwise approximation of stochastic differential equations on domains: Higher order convergence rates without global Lipschitz coefficients. Numerische Mathematik, 112(1), p. 41-64, 2009.
• Arnulf Jentzen and Andreas Neuenkirch. A Random Euler Scheme for Carathéodory Differential Equations. Journal of Computational and Applied Mathematics 224(1), p. 346-359, 2009.
• Andreas Neuenkirch. Optimal Pointwise Approximation of Stochastic Differential Equations Driven by Fractional Brownian Motion. Stochastic Processes and their Applications 118, p. 2294-2333, 2008.
  
• Andreas Neuenkirch, Ivan Nourdin and Samy Tindel. Delay equations driven by rough paths. Electronic Journal of Probability 13, p. 2031-2068, 2008.
  
• Tomás Caraballo, Peter E. Kloeden and Andreas Neuenkirch. Synchronization of systems with multiplicative noise. Stochastics and Dynamics 8, p. 139-154, 2008.
  
• Peter E. Kloeden and Andreas Neuenkirch. The pathwise convergence of approximation schemes for stochastic differential equations. LMS Journal of Computation and Mathematics 10, p. 235-253, 2007.
  
• Andreas Neuenkirch and Ivan Nourdin. Exact rate of convergence of some approximation schemes associated to SDEs driven by a fBm. Journal of Theoretical Probability 20(4), p. 871-899, 2007.
  
• Andreas Neuenkirch. Optimal approximation of SDE's with additive fractional noise. Journal of Complexity 22(4), p. 459-474, 2006.
  

Conference proceedings, chapters in books etc.

• Arnulf Jentzen, Peter E. Kloeden and Andreas Neuenkirch. Pathwise convergence of numerical schemes for random and stochastic differential equations. In: Foundations of Computational Mathematics: Hong Kong 2008, Editors: F. Cucker, A. Pinkus & M. Todd, Cambridge University Press, 2009, pp 140-161.
  
• Tomás Caraballo, Peter E. Kloeden, Andreas Neuenkirch and Raffaella Pavani. Synchronization of dissipative systems with additive and linear noise. In: Tammer, Christiane (ed.) et al., Festschrift in celebration of Prof. Dr. Wilfried Grecksch's 60th birthday. Shaker Verlag, Aachen, 2008, pp 25-47.
  

Working papers

• Aurélien Deya, Andreas Neuenkirch, Andreas Rößler and Samy Tindel. Deriving numerical methods for SDEs driven by fractional Brownian motions. In preparation, 2010.
  

Theses

• Andreas Neuenkirch. Optimal Approximation of Stochastic Differential Equations with Additive Fractional Noise. PhD thesis, TU Darmstadt, 2006. Shaker Verlag, Aachen.
• Andreas Neuenkirch. A pathwise construction of Brownian motion. (In german.) Diploma thesis, TU Darmstadt, 2002.

Some talks

• A Milstein type scheme without Lévy area terms for SDEs driven by fractional Brownian motion, Workshop on Ambit processes, non-semimartingales and applications, Sandbjerg Estate, Sønderborg, Denmark, 2010. [slides]

top