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Szölgyenyi, Michaela

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Author ID: szolgyenyi.michaela Recent zbMATH articles by "Szölgyenyi, Michaela"
Published as: Szölgyenyi, Michaela
External Links: MGP · Wikidata
Documents Indexed: 11 Publications since 2014

Publications by Year

Citations contained in zbMATH

10 Publications have been cited 40 times in 22 Documents Cited by Year
A numerical method for SDEs with discontinuous drift. Zbl 1341.65005
Leobacher, Gunther; Szölgyenyi, Michaela
9
2016
A strong order \(1/2\) method for multidimensional SDEs with discontinuous drift. Zbl 1373.60102
Leobacher, Gunther; Szölgyenyi, Michaela
6
2017
Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient. Zbl 1432.65012
Leobacher, Gunther; Szölgyenyi, Michaela
5
2018
On the existence of solutions of a class of SDEs with discontinuous drift and singular diffusion. Zbl 1308.65013
Leobacher, Gunther; Szölgyenyi, Michaela; Thonhauser, Stefan
5
2015
Utility indifference pricing of insurance catastrophe derivatives. Zbl 1405.91256
Eichler, Andreas; Leobacher, Gunther; Szölgyenyi, Michaela
3
2017
Optimal control of an energy storage facility under a changing economic environment and partial information. Zbl 1396.91819
Shardin, Anton A.; Szölgyenyi, Michaela
3
2016
Bayesian dividend optimization and finite time ruin probabilities. Zbl 1292.91182
Leobacher, Gunther; Szölgyenyi, Michaela; Thonhauser, Stefan
3
2014
Optimal liquidation under partial information with price impact. Zbl 1444.91196
Colaneri, Katia; Eksi, Zehra; Frey, Rüdiger; Szölgyenyi, Michaela
2
2020
An adaptive Euler-Maruyama scheme for stochastic differential equations with discontinuous drift and its convergence analysis. Zbl 1418.60062
Neuenkirch, Andreas; Szölgyenyi, Michaela; Szpruch, Lukasz
2
2019
Dividend maximization in a hidden Markov switching model. Zbl 1408.91107
Szölgyenyi, Michaela
2
2015
Optimal liquidation under partial information with price impact. Zbl 1444.91196
Colaneri, Katia; Eksi, Zehra; Frey, Rüdiger; Szölgyenyi, Michaela
2
2020
An adaptive Euler-Maruyama scheme for stochastic differential equations with discontinuous drift and its convergence analysis. Zbl 1418.60062
Neuenkirch, Andreas; Szölgyenyi, Michaela; Szpruch, Lukasz
2
2019
Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient. Zbl 1432.65012
Leobacher, Gunther; Szölgyenyi, Michaela
5
2018
A strong order \(1/2\) method for multidimensional SDEs with discontinuous drift. Zbl 1373.60102
Leobacher, Gunther; Szölgyenyi, Michaela
6
2017
Utility indifference pricing of insurance catastrophe derivatives. Zbl 1405.91256
Eichler, Andreas; Leobacher, Gunther; Szölgyenyi, Michaela
3
2017
A numerical method for SDEs with discontinuous drift. Zbl 1341.65005
Leobacher, Gunther; Szölgyenyi, Michaela
9
2016
Optimal control of an energy storage facility under a changing economic environment and partial information. Zbl 1396.91819
Shardin, Anton A.; Szölgyenyi, Michaela
3
2016
On the existence of solutions of a class of SDEs with discontinuous drift and singular diffusion. Zbl 1308.65013
Leobacher, Gunther; Szölgyenyi, Michaela; Thonhauser, Stefan
5
2015
Dividend maximization in a hidden Markov switching model. Zbl 1408.91107
Szölgyenyi, Michaela
2
2015
Bayesian dividend optimization and finite time ruin probabilities. Zbl 1292.91182
Leobacher, Gunther; Szölgyenyi, Michaela; Thonhauser, Stefan
3
2014

Citations by Year

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