Classification: 1114: Numerical mathematics

Publications

Journal article

2018 Leobacher, Gunther, Szölgyenyi, Michaela. 2018. Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient. Numerische Mathematik 138 (1), 219-239. open access (Details)
2017 Leobacher, Gunther, Szölgyenyi, Michaela. 2017. A Strong Order 1/2 Method for Multidimensional SDEs with Discontinuous Drift. Annals of Applied Probability 27 (4), 2383-2418. (Details)
  Leobacher, Gunther, Szölgyenyi, Michaela. 2017. Numerical methods for SDEs with drift discontinuous on a set of positive reach. Internationale Mathematische Nachrichten 235, 1-16. (Details)
  Eichler, Andreas, Leobacher, Gunther, Szölgyenyi, Michaela. 2017. Utility Indifference Pricing of Insurance Catastrophe Derivatives. European Actuarial Journal 7, 515-534. open access (Details)
2011 Leydold, Josef, Hörmann, Wolfgang. 2011. Generating generalized inverse Gaussian random variates by fast inversion. Computational Statistics & Data Analysis 55 (1): 213-217. (Details)
2010 Derflinger, Gerhard, Hörmann, Wolfgang, Leydold, Josef. 2010. Random Variate Generation by Numerical Inversion when only the Density Is Known. ACM Transactions on Modeling and Computer Simulation 20 (4): 18:1-18:25. (Details)

Contribution to conference proceedings

2007 Gimpl-Heersink, Lisa, Gimpl, Jürgen, Taudes, Alfred. 2007. An extended pricing and inventory control model with reference effects (contribution 658). In Proceedings of the 6th EUROSIM Congress on Modelling and Simulation, Hrsg. B.Zupancic, R.Karba, S.Blazic, 1-8. Ljubljana, Slovenia: (Details)
  Weidinger, Wolfgang, Gimpl-Heersink, Lisa, Gimpl, Jürgen, Taudes, Alfred. 2007. Markdown management in practice (contribution 638). In Proceedings of the 6th EUROSIM Congress on Modelling and Simulation, Hrsg. B.Zupancic, R.Karba, S.Blazic, 1-8. Ljubljana, Slovenia: ARGESIM / ASIM - Verlag. (Details)

Paper presented at an academic conference or symposium

2017 Szölgyenyi, Michaela. 2017. Convergence of Euler-Maruyama for SDEs in stochastic control. Stochastic Models and Control 2017, Trier, Deutschland, 22.03.-24.03. (Details)
  Szölgyenyi, Michaela. 2017. Convergence of Euler-Maruyama for SDEs with discontinuous drift. 11th International Conference on Monte Carlo Methods and Applications, HEC Montreal, Kanada, 03.07.-07.07. (Details)
  Szölgyenyi, Michaela. 2017. Numerical methods for SDEs with discontinuous drift appearing in mathematical finance. Recent Developments in Numerical Methods with Applications in Statistics and Finance, Mannheim, Deutschland, 08.06.-09.06. Invited Talk (Details)
2016 Szölgyenyi, Michaela. 2016. A numerical method for multidimensional SDEs with discontinuous drift and degenerate diffusion. 12th International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing, Stanford, Vereinigte Staaten/USA, 14.08.-19.08. (Details)
  Szölgyenyi, Michaela. 2016. A strong order 1/2 method for solving multidimensional SDEs appearing in mathematical finance. 9th World Congress of the Bachelier Finance Society, New York City, United States/USA, 15.07.-19.07. (Details)
  Szölgyenyi, Michaela. 2016. A strong order 1/2 method for solving multidimensional SDEs appearing in mathematical finance. Vienna Congress on Mathematical Finance, Vienna, Austria, 12.09.-14.09. (Details)
  Szölgyenyi, Michaela. 2016. Numerics for controlled processes. German Probability and Statistics Days, Bochum, Deutschland, 01.03.-04.03. (Details)
  Szölgyenyi, Michaela. 2016. Numerics for multidimensional SDEs with discontinuous drift. Austrian Stochastics Days, Graz, Österreich, 30.06.-01.07. (Details)
2007 Gimpl-Heersink, Lisa, Gimpl, Jürgen, Taudes, Alfred. 2007. An extended pricing and inventory control model with reference effects. 6th EUROSIM Congress on Modelling and Simulation, Ljubljana, Slowenien, 09.09.-13.09.. (Details)
  Weidinger, Wolfgang, Gimpl-Heersink, Lisa, Gimpl, Jürgen, Taudes, Alfred. 2007. Markdown management in practice. 6th EUROSIM Congress on Modelling and Simulation, Ljubljana, Slowenien, 09.09.-13.09.. (Details)

Poster presented at an academic conference or symposium

2016 Szölgyenyi, Michaela. 2016. A strong order 1/2 method for SDEs with discontinuous drift and degenerate diffusion. International Conference on Monte Carlo Techniques, Paris, Frankreich, 05.07.-08.05. (Details)

Dissertation

2015 Szölgyenyi, Michaela. 2015. Dividend maximization in hidden Markov models and analysis of associated stochastic differential equations. Dissertation, Johannes Kepler Univesität Linz. (Details)

Unpublished lecture

2017 Szölgyenyi, Michaela. 2017. Numerical methods for SDEs in financial and insurance mathematics. Hearing for Associate Professor position, TU Graz, Austria, 26.06. (Details)
  Szölgyenyi, Michaela. 2017. Utility indifference pricing of catastrophe derivatives in a PDMP model. Brown Bag Seminar of the Institute of Statistics and Mathematics, Wien, Österreich, 03.05. (Details)
  Szölgyenyi, Michaela. 2017. Convergence of numerical methods for SDEs with applications in insurance mathematics. Job talk, ETH Zürich, Switzerland, 18.01. (Details)
  Szölgyenyi, Michaela. 2017. A numerical method for SDEs appearing in insurance and financial mathematics. Brown Bag Seminar of the Institute of Statistics and Mathematics, Wien, Österreich, 11.01. (Details)
2016 Szölgyenyi, Michaela. 2016. The first numerical method for multidimensional SDEs with discontinuous drift. Brown Bag Seminar of the Institute of Statistics and Mathematics, Wien, Österreich, 20.04. (Details)

Projects

1999
Automatic random variate generation (1999-2003) (Details)
  • Szölgyenyi, Michaela (Former researcher)
  • Tirler, Günter (Former researcher)
  • Wöckl, Jürgen (Details)