Concepedia

Michaela Szölgyenyi

MS

8

Publications

260

Citations

8

H-Index

2013

Active since

Affiliations

University of Klagenfurt(Current)

Vienna University of Economics and Business

Johannes Kepler University of Linz

University of Graz

AGH University of Krakow

Michaela Szölgyenyi is an author at University of Klagenfurt specializing in engineering, stochastic differential equations, and numerical analysis.

ORCID

Top concepts

Publications per year

2013–2021

8

Publications

8

A strong order $1/2$ method for multidimensional SDEs with discontinuous drift

Gunther Leobacher, Michaela Szölgyenyi · The Annals of Applied Probability · 2017 · 62 citations · Full text

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Convergence of the Euler–Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient

Gunther Leobacher, Michaela Szölgyenyi · Numerische Mathematik · 2017 · 58 citations · Full text

A numerical method for SDEs with discontinuous drift

Gunther Leobacher, Michaela Szölgyenyi · BIT Numerical Mathematics · 2015 · 55 citations · Full text

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The Euler–Maruyama scheme for SDEs with irregular drift: convergence rates via reduction to a quadrature problem

Andreas Neuenkirch, Michaela Szölgyenyi · IMA Journal of Numerical Analysis · 2020 · 35 citations · Full text

Optimal liquidation under partial information with price impact

Katia Colaneri, Zehra Eksi, Rüdiger Frey et al. · Stochastic Processes and their Applications · 2019 · 15 citations · Full text

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