Applied and Computational Mathematics (ACM)


scheduled 2023
M. Ehrhardt and M. Günther, Numerik gewöhnlicher Differentialgleichungen : Anwendungen in Technik, Wirtschaft, Biologie und Gesellschaft. .... Springer, scheduled 2023.
L. Teng, M. Ehrhardt and M. G\"unther, Stochastic Correlation: Modelling, Analysis and Numerical Simulation with Applications in Finance. .... World Scientific, scheduled 2023.
P. {Beyer and J. Kienitz, "{Pricing {F}orward {S}tart {O}ption in {M}odels based on {L}évy {P}rocesses}" , {The Icfai University Journal of Derivatives Markets}, vol. {6(2)}, pp. {7--23}, {2009}.
J. {Kienitz, "Stochastic Processes in Finance III" , {Wilmott Magazine}.
J. {Kienitz, "Stochastic Processes in Finance II" , {Wilmott Magazine}, vol. {6}.
J. {Kienitz, "Stochastic Processes in Finance I" , {Wilmott Magazine}.
D. {Duffy and J. Kienitz, Monte Carlo Frameworks - Building Customisable and High-performance C++ Applications. .... {John Wiley \& Sons, Chichester}.
J. {Kienitz, "{The {CGMY} model}" , {The Encyclopedia of Quantitative Finance (ed. Cont), Wiley}, {2009}.
T. Sch\"afers and L. Teng, "Asymmetry in stochastic volatility models with threshold and time-dependent correlation" , Studies in Nonlinear Dynamics \& Econometrics, 2022.
F. Heldmann, S. Treibert, M. Ehrhardt and K. Klamroth, "PINN Training using Biobjective Optimization: The Trade-off between Data Loss and Residual Loss" , IMACM preprint 22/13, 2022.
F. Klass, A. Gabbana and A. Bartel, "A Characteristic Boundary Condition for Multispeed Lattice Boltzmann Methods" , Accepted at Commun. Comput. Phys., 2022.
T. Kossaczká, M. Ehrhardt and M. Günther, "A neural network enhanced weighted essentially non-oscillatory method for nonlinear degenerate parabolic equations" , Physics of Fluids, vol. 34, no. 2, pp. 026604, 2022. AIP Publishing LLC.
F. Klass, A. Gabbana and A. Bartel, "A non-reflecting boundary condition for multispeed lattice Boltzmann methods" in Accepted at Progress in Industrial Mathematics at ECMI 2021,M. Ehrhardt and M. Günther, Eds. Springer-Verlag, Berlin, 2022.

ISBN: 978-3-031-11817-3

S. Treibert, H. Brunner and M. Ehrhardt, "A nonstandard finite difference scheme for the SVICDR model to predict COVID-19 dynamics" , Math. Biosci. Eng., vol. 19, pp. 1213--1238, 2022.
J. Jäschke, M. Ehrhardt, M. Günther and B. Jacob, "A port-{Hamiltonian} formulation of coupled heat transfer" , Math. Comput. Modell. Dynam. Syst., vol. 28, no. 1, pp. 78--94, 2022. Taylor \& Francis.
S. Treibert and M. Ehrhardt, "A Physics-Informed Neural Network to Model COVID-19 Epidemic Scenarios" , IMACM preprint 22/11, 2022.
J. Kienitz, G. Lee, N. Nowaczyk and N. Geng, "Dynamically Controlled Kernel Estimation" , RISK, vol. 1, 2022.
K. Sabirov, J. Yusupov, M. Ehrhardt and D. Matrasulov, "Transparent boundary conditions for the sine-Gordon equation: Modeling the reflectionless propagation of kink solitons on a line" , Physics Letters A, vol. 423, pp. 127822, 2022. Elsevier.
M. Muniz, M. Ehrhardt, M. Günther and R. Winkler, "Strong stochastic Runge-Kutta-Munthe-Kaas methods for nonlinear Itô SDEs on manifolds" , IMACM preprint 22/14, 2022.
M. Muniz, M. Ehrhardt, M. Günther and R. Winkler, "Stochastic Runge-Kutta–Munthe-Kaas Methods in the Modelling of Perturbed Rigid Bodies" , AAMM, vol. 14, no. 2, pp. 528--538, 2022.
K. Schäfers, A. Bartel, M. Günther and C. Hachtel, "Spline-oriented inter/extrapolation-based multirate schemes of higher order" , Applied Mathematics Letters, 2022. Elsevier.
J. Kienitz, "Semi-Analytic Conditional Expectations" , RISK, vol. 7, 2022.
J. Ackermann, T. Kruse and M. Urusov, "Self-exciting price impact via negative resilience in stochastic order books" , Annals of Operations Research, pp. 1--23, 2022. Springer.
J. Ackermann, T. Kruse and M. Urusov, "Reducing Obizhaeva-Wang type trade execution problems to LQ stochastic control problems" , arXiv preprint arXiv:2206.03772, 2022.
S. Ankirchner, T. Kruse, W. Löhr and M. Urusov, "Properties of the EMCEL scheme for approximating irregular diffusions" , Journal of Mathematical Analysis and Applications, vol. 509, no. 1, pp. 125931, 2022. Academic Press.

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