Edit Profile Szölgyenyi, Michaela Compute Distance To: Compute Author ID: szolgyenyi.michaela Published as: Szölgyenyi, Michaela External Links: MGP · Wikidata Documents Indexed: 11 Publications since 2014 all top 5 Co-Authors 1 single-authored 7 Leobacher, Gunther 3 Thonhauser, Stefan 1 Colaneri, Katia 1 Eichler, Andreas 1 Eksi, Zehra 1 Frey, Rüdiger 1 Kritzer, Peter 1 Neuenkirch, Andreas 1 Shardin, Anton A. 1 Szpruch, Lukasz all top 5 Serials 1 BIT 1 Numerische Mathematik 1 SIAM Journal on Numerical Analysis 1 The Annals of Applied Probability 1 Stochastic Processes and their Applications 1 Electronic Communications in Probability 1 International Journal of Theoretical and Applied Finance 1 Scandinavian Actuarial Journal 1 Stochastic Models 1 European Actuarial Journal 1 Statistics & Risk Modeling all top 5 Fields 11 Probability theory and stochastic processes (60-XX) 6 Numerical analysis (65-XX) 6 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 5 Systems theory; control (93-XX) 2 Ordinary differential equations (34-XX) 1 Calculus of variations and optimal control; optimization (49-XX) Publications by Year all cited Publications top 5 cited Publications 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 1341.65005Leobacher, Gunther; Szölgyenyi, Michaela 9 2016 A strong order \(1/2\) method for multidimensional SDEs with discontinuous drift. Zbl 1373.60102Leobacher, Gunther; Szölgyenyi, Michaela 6 2017 Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient. Zbl 1432.65012Leobacher, Gunther; Szölgyenyi, Michaela 5 2018 On the existence of solutions of a class of SDEs with discontinuous drift and singular diffusion. Zbl 1308.65013Leobacher, Gunther; Szölgyenyi, Michaela; Thonhauser, Stefan 5 2015 Utility indifference pricing of insurance catastrophe derivatives. Zbl 1405.91256Eichler, Andreas; Leobacher, Gunther; Szölgyenyi, Michaela 3 2017 Optimal control of an energy storage facility under a changing economic environment and partial information. Zbl 1396.91819Shardin, Anton A.; Szölgyenyi, Michaela 3 2016 Bayesian dividend optimization and finite time ruin probabilities. Zbl 1292.91182Leobacher, Gunther; Szölgyenyi, Michaela; Thonhauser, Stefan 3 2014 Optimal liquidation under partial information with price impact. Zbl 1444.91196Colaneri, 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 1418.60062Neuenkirch, Andreas; Szölgyenyi, Michaela; Szpruch, Lukasz 2 2019 Dividend maximization in a hidden Markov switching model. Zbl 1408.91107Szölgyenyi, Michaela 2 2015 Optimal liquidation under partial information with price impact. Zbl 1444.91196Colaneri, 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 1418.60062Neuenkirch, Andreas; Szölgyenyi, Michaela; Szpruch, Lukasz 2 2019 Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient. Zbl 1432.65012Leobacher, Gunther; Szölgyenyi, Michaela 5 2018 A strong order \(1/2\) method for multidimensional SDEs with discontinuous drift. Zbl 1373.60102Leobacher, Gunther; Szölgyenyi, Michaela 6 2017 Utility indifference pricing of insurance catastrophe derivatives. Zbl 1405.91256Eichler, Andreas; Leobacher, Gunther; Szölgyenyi, Michaela 3 2017 A numerical method for SDEs with discontinuous drift. Zbl 1341.65005Leobacher, Gunther; Szölgyenyi, Michaela 9 2016 Optimal control of an energy storage facility under a changing economic environment and partial information. Zbl 1396.91819Shardin, Anton A.; Szölgyenyi, Michaela 3 2016 On the existence of solutions of a class of SDEs with discontinuous drift and singular diffusion. Zbl 1308.65013Leobacher, Gunther; Szölgyenyi, Michaela; Thonhauser, Stefan 5 2015 Dividend maximization in a hidden Markov switching model. Zbl 1408.91107Szölgyenyi, Michaela 2 2015 Bayesian dividend optimization and finite time ruin probabilities. Zbl 1292.91182Leobacher, Gunther; Szölgyenyi, Michaela; Thonhauser, Stefan 3 2014 all cited Publications top 5 cited Publications all top 5 Cited by 39 Authors 6 Szölgyenyi, Michaela 3 Leobacher, Gunther 3 Müller-Gronbach, Thomas 3 Yaroslavtseva, Larisa 2 Ceci, Claudia 2 Taguchi, Dai 1 Avram, Florin 1 Callegaro, Giorgia 1 Cheng, Gongpin 1 Ching, Wai-Ki 1 Colaneri, Katia 1 Cretarola, Alessandra 1 Dareiotis, Konstantinos Anastasios 1 Ferrari, Giorgio 1 Fung, Man Chung 1 Gerencsér, Máté 1 Gu, Jiawen 1 Hatzesberger, Simon 1 Hefter, Mario 1 Herzwurm, André 1 Kohatsu-Higa, Arturo 1 Kritzer, Peter 1 Lejay, Antoine 1 Leung, Melvern 1 Neuenkirch, Andreas 1 Ngo, Hoang-Long 1 O’Hare, Colin 1 Shardin, Anton A. 1 Siu, Tak Kuen 1 Szpruch, Lukasz 1 Tanaka, Akihiro 1 Thonhauser, Stefan 1 Xu, Lin 1 Yang, Qingqing 1 Yao, Dingjun 1 Yasuda, Kazuhiro 1 Yoshioka, Hidekazu 1 Yoshioka, Yumi 1 Zhou, Xiaowen all top 5 Cited in 20 Serials 2 Journal of Complexity 2 Scandinavian Actuarial Journal 1 Computers & Mathematics with Applications 1 Journal of Mathematical Analysis and Applications 1 BIT 1 Journal of Computational and Applied Mathematics 1 Numerische Mathematik 1 SIAM Journal on Numerical Analysis 1 Insurance Mathematics & Economics 1 Statistics & Probability Letters 1 The Annals of Applied Probability 1 Stochastic Processes and their Applications 1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 1 Theory of Probability and Mathematical Statistics 1 Electronic Journal of Probability 1 Finance and Stochastics 1 International Journal of Theoretical and Applied Finance 1 Decisions in Economics and Finance 1 Journal of Industrial and Management Optimization 1 Statistics & Risk Modeling all top 5 Cited in 10 Fields 17 Probability theory and stochastic processes (60-XX) 13 Numerical analysis (65-XX) 8 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 5 Systems theory; control (93-XX) 3 Ordinary differential equations (34-XX) 2 Statistics (62-XX) 1 Partial differential equations (35-XX) 1 Approximations and expansions (41-XX) 1 Fluid mechanics (76-XX) 1 Geophysics (86-XX) Citations by Year Wikidata Timeline The data are displayed as stored in Wikidata under a Creative Commons CC0 License. Updates and corrections should be made in Wikidata.