An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process S Dereich, A Neuenkirch, L Szpruch Proceedings of the royal society A: mathematical, physical and engineering …, 2012 | 167 | 2012 |

First order strong approximations of scalar SDEs with values in a domain A Neuenkirch, L Szpruch Numerische Mathematik 128 (1), 103-136, 2014 | 154 | 2014 |

The pathwise convergence of approximation schemes for stochastic differential equations PE Kloeden, A Neuenkirch LMS journal of Computation and Mathematics 10, 235-253, 2007 | 142 | 2007 |

Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion A Neuenkirch, I Nourdin Journal of Theoretical Probability 20, 871-899, 2007 | 121 | 2007 |

A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion A Deya, A Neuenkirch, S Tindel Annales de l'IHP Probabilités et statistiques 48 (2), 518-550, 2012 | 99 | 2012 |

The exponential integrator scheme for stochastic partial differential equations: pathwise error bounds PE Kloeden, GJ Lord, A Neuenkirch, T Shardlow Journal of Computational and Applied Mathematics 235 (5), 1245-1260, 2011 | 91 | 2011 |

Delay equations driven by rough paths A Neuenkirch, I Nourdin, S Tindel | 86 | 2008 |

Pathwise approximation of stochastic differential equations on domains: higher order convergence rates without global Lipschitz coefficients A Jentzen, PE Kloeden, A Neuenkirch Numerische Mathematik 112, 41-64, 2009 | 81 | 2009 |

Discretization of stationary solutions of stochastic systems driven by fractional Brownian motion MJ Garrido-Atienza, PE Kloeden, A Neuenkirch Applied Mathematics and Optimization 60 (2), 151-172, 2009 | 67 | 2009 |

Convergence of numerical methods for stochastic differential equations in mathematical finance P Kloeden, A Neuenkirch Recent Developments in Computational Finance: Foundations, Algorithms and …, 2013 | 64 | 2013 |

Exponential stability of stochastic evolution equations driven by small fractional Brownian motion with Hurst parameter in (1/2, 1) LH Duc, MJ Garrido-Atienza, A Neuenkirch, B Schmalfuß Journal of Differential Equations 264 (2), 1119-1145, 2018 | 57 | 2018 |

A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise A Neuenkirch, S Tindel Statistical Inference for Stochastic Processes 17, 99-120, 2014 | 56 | 2014 |

An Adaptive Euler--Maruyama Scheme for Stochastic Differential Equations with Discontinuous Drift and its Convergence Analysis A Neuenkirch, M Szölgyenyi, L Szpruch SIAM Journal on Numerical Analysis 57 (1), 378-403, 2019 | 54 | 2019 |

Multilevel Monte Carlo quadrature of discontinuous payoffs in the generalized Heston model using Malliavin integration by parts M Altmayer, A Neuenkirch SIAM Journal on Financial Mathematics 6 (1), 22-52, 2015 | 52 | 2015 |

A random Euler scheme for Carathéodory differential equations A Jentzen, A Neuenkirch Journal of computational and applied mathematics 224 (1), 346-359, 2009 | 48 | 2009 |

Optimal approximation of SDE's with additive fractional noise A Neuenkirch Journal of Complexity 22 (4), 459-474, 2006 | 44 | 2006 |

Multilevel Monte Carlo for stochastic differential equations with additive fractional noise PE Kloeden, A Neuenkirch, R Pavani Annals of Operations Research 189, 255-276, 2011 | 38 | 2011 |

Discretizing the fractional Lévy area A Neuenkirch, S Tindel, J Unterberger Stochastic Processes and their Applications 120 (2), 223-254, 2010 | 37 | 2010 |

The Euler–Maruyama scheme for SDEs with irregular drift: convergence rates via reduction to a quadrature problem A Neuenkirch, M Szölgyenyi IMA Journal of Numerical Analysis 41 (2), 1164-1196, 2021 | 36 | 2021 |

Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion A Neuenkirch Stochastic processes and their applications 118 (12), 2294-2333, 2008 | 33 | 2008 |