Hofmann, Norbert; Müller-Gronbach, Thomas A modified Milstein scheme for approximation of stochastic delay differential equations with constant time lag. (English) Zbl 1107.65008 J. Comput. Appl. Math. 197, No. 1, 89-121 (2006). Reviewer: Grigori N. Milstein (Ekaterinburg) MSC: 65C30 60H10 34K50 PDFBibTeX XMLCite \textit{N. Hofmann} and \textit{T. Müller-Gronbach}, J. Comput. Appl. Math. 197, No. 1, 89--121 (2006; Zbl 1107.65008) Full Text: DOI
Hofmann, Norbert; Müller-Gronbach, Thomas On the global error of Itô–Taylor schemes for strong approximation of scalar stochastic differential equations. (English) Zbl 1068.65013 J. Complexity 20, No. 5, 732-752 (2004). Reviewer: Melvin D. Lax (Long Beach) MSC: 65C30 60H10 60H35 PDFBibTeX XMLCite \textit{N. Hofmann} and \textit{T. Müller-Gronbach}, J. Complexity 20, No. 5, 732--752 (2004; Zbl 1068.65013) Full Text: DOI
Hofmann, Norbert; Müller-Gronbach, Thomas; Ritter, Klaus Linear vs standard information for scalar stochastic differential equations. (English) Zbl 1008.65005 J. Complexity 18, No. 2, 394-414 (2002). Reviewer: Kevin Burrage (Brisbane) MSC: 65C30 60H10 60H35 PDFBibTeX XMLCite \textit{N. Hofmann} et al., J. Complexity 18, No. 2, 394--414 (2002; Zbl 1008.65005) Full Text: DOI
Hofmann, Norbert; Müller-Gronbach, Thomas; Ritter, Klaus The optimal discretization of stochastic differential equations. (English) Zbl 0991.60047 J. Complexity 17, No. 1, 117-153 (2001). Reviewer: Eckhard Platen (Broadway) MSC: 60H10 65L06 PDFBibTeX XMLCite \textit{N. Hofmann} et al., J. Complexity 17, No. 1, 117--153 (2001; Zbl 0991.60047) Full Text: DOI
Hofmann, Norbert; Müller-Gronbach, Thomas; Ritter, Klaus Step size control for the uniform approximation of systems of stochastic differential equations with additive noise. (English) Zbl 1054.65007 Ann. Appl. Probab. 10, No. 2, 616-633 (2000). MSC: 65C30 60H10 60H35 65L06 34F05 65L70 PDFBibTeX XMLCite \textit{N. Hofmann} et al., Ann. Appl. Probab. 10, No. 2, 616--633 (2000; Zbl 1054.65007) Full Text: DOI
Hofmann, Norbert; Platen, Eckhard Approximating large diversified portfolios. (English) Zbl 1021.91027 Math. Finance 10, No. 1, 77-88 (2000). MSC: 91G10 60H10 PDFBibTeX XMLCite \textit{N. Hofmann} and \textit{E. Platen}, Math. Finance 10, No. 1, 77--88 (2000; Zbl 1021.91027) Full Text: DOI
Hofmann, Norbert; Müller-Gronbach, Thomas; Ritter, Klaus Optimal approximation of stochastic differential equations by adaptive step-size control. (English) Zbl 0948.65002 Math. Comput. 69, No. 231, 1017-1034 (2000). Reviewer: Eckhard Platen (Broadway) MSC: 65C30 65L06 65L50 60H10 PDFBibTeX XMLCite \textit{N. Hofmann} et al., Math. Comput. 69, No. 231, 1017--1034 (2000; Zbl 0948.65002) Full Text: DOI
Hofmann, Norbert; Mathé, Peter On quasi-Monte Carlo simulation of stochastic differential equations. (English) Zbl 0864.65099 Math. Comput. 66, No. 218, 573-589 (1997). MSC: 65C99 60H10 65C05 PDFBibTeX XMLCite \textit{N. Hofmann} and \textit{P. Mathé}, Math. Comput. 66, No. 218, 573--589 (1997; Zbl 0864.65099) Full Text: DOI
Hofmann, Norbert; Platen, Eckhard Stability of superimplicit numerical methods for stochastic differential equations. (English) Zbl 0852.65146 Kliemann, W. H. (ed.) et al., Nonlinear dynamics and stochastic mechanics. Proceedings of the international symposium, Waterloo, Canada, August 28–September 1, 1993. Providence, RI: American Mathematical Society. Fields Inst. Commun. 9, 93-104 (1996). MSC: 65C99 65L20 65L05 65L06 60H10 34F05 PDFBibTeX XMLCite \textit{N. Hofmann} and \textit{E. Platen}, Fields Inst. Commun. 9, 93--104 (1996; Zbl 0852.65146)
Hofmann, Norbert Contributions to weak approximation of stochastic differential equations. (Beiträge zur schwachen Approximation stochastischer Differentialgleichungen.) (German) Zbl 0840.65146 Humboldt-Universität zu Berlin, Fachbereich Mathematik. Seminarberichte. 95,2. Berlin: Humboldt-Univ. 114 p. (1995). Reviewer: N.Hofmann (Berlin) MSC: 65C99 60H10 65L20 65L05 34F05 PDFBibTeX XMLCite \textit{N. Hofmann}, Beiträge zur schwachen Approximation stochastischer Differentialgleichungen. Berlin: Humboldt-Univ. (1995; Zbl 0840.65146)
Kloeden, P. E.; Platen, E.; Hofmann, N. Extrapolation methods for the weak approximation of Itô diffusions. (English) Zbl 0866.60048 SIAM J. Numer. Anal. 32, No. 5, 1519-1534 (1995). Reviewer: M.Gelbrich (Berlin) MSC: 60H10 65C05 65L05 93E25 PDFBibTeX XMLCite \textit{P. E. Kloeden} et al., SIAM J. Numer. Anal. 32, No. 5, 1519--1534 (1995; Zbl 0866.60048) Full Text: DOI
Hofmann, Norbert Stability of weak numerical schemes for stochastic differential equations. (English) Zbl 0824.60058 Math. Comput. Simul. 38, No. 1-3, 63-68 (1995). MSC: 60H10 65C99 PDFBibTeX XMLCite \textit{N. Hofmann}, Math. Comput. Simul. 38, No. 1--3, 63--68 (1995; Zbl 0824.60058) Full Text: DOI
Hofmann, N.; Platen, E. Stability of weak numerical schemes for stochastic differential equations. (English) Zbl 0810.65147 Comput. Math. Appl. 28, No. 10-12, 45-57 (1994). Reviewer: M.D.Lax (Long Beach) MSC: 65C99 65L05 65L20 60H10 34F05 PDFBibTeX XMLCite \textit{N. Hofmann} and \textit{E. Platen}, Comput. Math. Appl. 28, No. 10--12, 45--57 (1994; Zbl 0810.65147) Full Text: DOI