University of Mannheim
Andreas Neuenkirch is chair of Stochastic Numerics at the Mathematical Institute of the University of Mannheim. He works on numerical methods for stochastic differential equations, information based complexity and related topics.
Andreas Neuenkirch obtained his PhD under the supervision of Klaus Ritter in 2006 at the TU Darmstadt. After several PostDoc positions, in particular with Peter Kloeden at the Goethe University Frankfurt, he obtained the chair for Stochastic Numerics in Mannheim in 2012.
As of now, he is an associate editor for the Journal of Complexity and for Discrete & Continuous Dynamical Systems – B, and is a co-organizer of the International Seminar on SDEs and Related Topics.
The authors employ Euler-type methods to study the L¹ approximation of the log-Heston stochastic differential equation at equidistant time points.