Martin Hutzenthaler

Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients

Martin Hutzenthaler, Arnulf Jentzen, Peter E. Kloeden · The Annals of Applied Probability · 2012 · 431 citations · Full text

Numerical Analysis, Engineering, Natural Sciences +14

Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients

Martin Hutzenthaler, Arnulf Jentzen, Peter E. Kloeden · Proceedings of the Royal Society A Mathematical Physical and Engineering Sciences · 2010 · 413 citations · Full text

Numerical Analysis, Weak Divergence, Lipschitz Continuous Drift +14

On Multilevel Picard Numerical Approximations for High-Dimensional Nonlinear Parabolic Partial Differential Equations and High-Dimensional Nonlinear Backward Stochastic Differential Equations

E Weinan, Martin Hutzenthaler, Arnulf Jentzen et al. · Journal of Scientific Computing · 2019 · 133 citations · Full text

Numerical Analysis, Natural Sciences, Semi-implicit Method +6

Loss of regularity for Kolmogorov equations

Martin Hairer, Martin Hutzenthaler, Arnulf Jentzen · The Annals of Probability · 2015 · 85 citations · Full text

Divergence of the multilevel Monte Carlo Euler method for nonlinear stochastic differential equations

Martin Hutzenthaler, Arnulf Jentzen, Peter E. Kloeden · The Annals of Applied Probability · 2013 · 78 citations · Full text