Research output per year
Research output per year
Personal profile
Scientific Focus
- Numerical methods for stochastic differential equations (SDEs)
- Stochastic Runge-Kutta (SRK) methods
- Stability analysis
- Step size control for stochastic differential equations
- Numerical methods for stochastic differential algebraic equations (SDAEs)
- Computational finance
- Monte Carlo methods
- Multi level Monte Carlo methods
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Dive into the research topics where Andreas Rößler is active. These topic labels come from the works of this person. Together they form a unique fingerprint.
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Collaborations and top research areas from the last five years
Recent external collaboration on country/territory level. Dive into details by clicking on the dots or
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An Analysis of the Milstein Scheme for SPDEs Without a Commutative Noise Condition
von Hallern, C. & Rößler, A., 20.05.2020, MCQMC 2018: Monte Carlo and Quasi-Monte Carlo Methods. Tuffin, B. & L'Ecuyer, P. (eds.). Springer, Cham, Vol. 324. p. 503-521 19 p. (Springer Proceedings in Mathematics & Statistics ; vol. 324).Research output: Chapters in Books/Reports/Conference Proceedings › Conference contribution › peer-review
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High order numerical integrators for single integrand Stratonovich SDEs
Cohen, D., Debrabant, K. & Rößler, A., 12.2020, In: Applied Numerical Mathematics. 158, p. 264-270 7 p.Research output: Journal Articles › Journal articles › Research › peer-review
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Analysis of multilevel Monte Carlo path simulation using the Milstein discretisation
Giles, M. B., Debrabant, K. & Rößler, A., 08.2019, In: Discrete and Continuous Dynamical Systems - Series B. 24, 8, p. 3881-3903 23 p.Research output: Journal Articles › Journal articles › Research › peer-review
1 Citation (Scopus) -
Iterated stochastic integrals in infinite dimensions: approximation and error estimates
Leonhard, C. & Rößler, A., 15.06.2019, In: Stochastics and Partial Differential Equations: Analysis and Computations. 7, 2, p. 209-239 31 p.Research output: Journal Articles › Journal articles › Research › peer-review
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Enhancing the order of the Milstein scheme for stochastic partial differential equations with commutative noise
Leonhard, C. & Roßler, A., 01.01.2018, In: SIAM Journal on Numerical Analysis. 56, 4, p. 2585-2622 38 p.Research output: Journal Articles › Journal articles › Research › peer-review