Michaela Sz\"olgyenyi

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Papers (11)

1. An adaptive Euler-Maruyama scheme for stochastic differential equations with discontinuous drift and its convergence analysis math.NA · 2018 · author #2
2. Approximation methods for piecewise deterministic Markov processes and their costs math.PR · 2017 · author #3
3. Numerical methods for SDEs with drift discontinuous on a set of positive reach math.NA · 2017 · author #2
4. Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient math.NA · 2016 · author #2
5. Utility Indifference Pricing of Insurance Catastrophe Derivatives q-fin.PR · 2016 · author #3
6. Optimal Liquidation under Partial Information with Price Impact q-fin.MF · 2016 · author #4
7. Optimal Control of an Energy Storage Facility Under a Changing Economic Environment and Partial Information q-fin.MF · 2016 · author #2
8. Bayesian Dividend Optimization and Finite Time Ruin Probabilities q-fin.MF · 2016 · author #2
9. Dividend maximization in a hidden Markov switching model q-fin.MF · 2016 · author #1
10. A Strong Order 1/2 Method for Multidimensional SDEs with Discontinuous Drift math.NA · 2015 · author #2
11. A Numerical Method for SDEs with Discontinuous Drift math.PR · 2015 · author #2

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Frequent Coauthors

• Gunther Leobacher 7 shared papers
• Stefan Thonhauser 2 shared papers
• Andreas Eichler 1 shared papers
• Andreas Neuenkirch 1 shared papers
• Anton A. Shardin 1 shared papers
• Katia Colaneri 1 shared papers
• Lukasz Szpruch 1 shared papers
• Peter Kritzer 1 shared papers
• R\"udiger Frey 1 shared papers
• Zehra Eksi 1 shared papers