Convergence of adaptive schemes for SDEs in dependence of the regularity of the drift

A cooperation with Dr. Gonçalo dos Reis from the University of Edinburgh and Dr. Yue Wu from the University of Strathclyde.
Funded by International Centre for Mathematical Sciences

Insurance Education

In cooperation with Kärntner Gesellschaft für Versicherungsfachwissen

Numerical Methods for Stochastic Differential Equations with Irregular Coefficients with Applications in Risk Theory and Mathematical Finance
AXA Research Fund Project

The project ran from August 2017 – December 2019 and was moved to the University of Klagenfurt.