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Thomas Müller-Gronbach · Study

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Thomas Müller-Gronbach

15 works· latest 2023· 6 institutionscluster: provisional

h-index15

i1015

Citations549

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Most cited in this library

The optimal uniform approximation of systems of stochastic differential equations2002 · 71 citations
The Optimal Discretization of Stochastic Differential Equations2001 · 71 citations
On the performance of the Euler–Maruyama scheme for SDEs with discontinuous drift coefficient2020 · 50 citations
Optimal designs for approximating the path of a stochastic process1996 · 48 citations
OPTIMAL POINTWISE APPROXIMATION OF SDES BASED ON BROWNIAN MOTION AT DISCRETE POINTS (1)2005 · 45 citations

Works

15 shown

Sharp lower error bounds for strong approximation of SDEs with discontinuous drift coefficient by coupling of noise

The Annals of Applied Probability·2023·2 authors·Open access

18citations

A strong order 3/4 method for SDEs with discontinuous drift coefficient

IMA Journal of Numerical Analysis·2020·2 authors

32citations

On the performance of the Euler–Maruyama scheme for SDEs with discontinuous drift coefficient

Annales de l Institut Henri Poincaré Probabilités et Statistiques·2020·2 authors·Open access

50citations

General multilevel adaptations for stochastic approximation algorithms of Robbins–Monro and Polyak–Ruppert type

Numerische Mathematik·2019·2 authors

21citations

Lower error bounds for strong approximation of scalar SDEs with non-Lipschitzian coefficients

The Annals of Applied Probability·2018·3 authors·Open access

24citations

On stochastic differential equations with arbitrary slow convergence rates for strong approximation

Communications in Mathematical Sciences

·2016

·3 authors

·Open access

30citations

OPTIMAL POINTWISE APPROXIMATION OF INFINITE-DIMENSIONAL ORNSTEIN–UHLENBECK PROCESSES

Stochastics and Dynamics·2008·2 authors

21citations

Optimal Pointwise Approximation of a Linear Stochastic Heat Equation with Additive Space-Time White Noise

Springer eBooks·2007·2 authors·chapter

27citations

An implicit Euler scheme with non-uniform time discretization for heat equations with multiplicative noise

BIT Numerical Mathematics·2007·2 authors

38citations

OPTIMAL POINTWISE APPROXIMATION OF SDES BASED ON BROWNIAN MOTION AT DISCRETE POINTS (1)

·2005·1 author·preprint

45citations

The optimal uniform approximation of systems of stochastic differential equations

The Annals of Applied Probability·2002·1 author·Open access

71citations

Strong approximation of systems of stochastic differential equations

·2002·1 author

27citations

The Optimal Discretization of Stochastic Differential Equations

Journal of Complexity·2001·2 authors·Open access

71citations

Step size control for the uniform approximation of systems of stochastic differential equations with additive noise

The Annals of Applied Probability·2000·2 authors·Open access

26citations

Optimal designs for approximating the path of a stochastic process

Journal of Statistical Planning and Inference·1996·1 author

48citations