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Steffen Dereich · Study

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Steffen Dereich

8 works· latest 2019· 4 institutionscluster: provisionalORCID 0000-0001-9591-9340

h-index8

i108

Citations450

Works here8

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Most cited in this library

An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process2011 · 147 citations
Multilevel Monte Carlo algorithms for Lévy-driven SDEs with Gaussian correction2010 · 98 citations
The Shannon information of filtrations and the additional logarithmic utility of insiders2006 · 72 citations
A multilevel Monte Carlo algorithm for Lévy-driven stochastic differential equations2011 · 59 citations
General multilevel adaptations for stochastic approximation algorithms of Robbins–Monro and Polyak–Ruppert type2019 · 21 citations

Works

8 shown

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

Numerische Mathematik·2019·2 authors

21citations

Multilevel Monte Carlo for Lévy-driven SDEs: Central limit theorems for adaptive Euler schemes

The Annals of Applied Probability·2016·2 authors·Open access

18citations

An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process

Proceedings of the Royal Society A Mathematical Physical and Engineering Sciences·2011·3 authors

147citations

A multilevel Monte Carlo algorithm for Lévy-driven stochastic differential equations

Stochastic Processes and their Applications·2011·2 authors·Open access

59citations

Multilevel Monte Carlo algorithms for Lévy-driven SDEs with Gaussian correction

The Annals of Applied Probability·2010·1 author·Open access

98citations

Enlargement of Filtrations and Continuous Girsanov-Type Embeddings

Springer eBooks·2007·3 authors·chapter

16citations

The coding complexity of diffusion processes under supremum norm distortion

Stochastic Processes and their Applications·2007·1 author·Open access

19citations

The Shannon information of filtrations and the additional logarithmic utility of insiders

The Annals of Probability·2006·3 authors·Open access

72citations