Steffen Dereich

An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process

Steffen Dereich, Andreas Neuenkirch, Łukasz Szpruch · Proceedings of the Royal Society A Mathematical Physical and Engineering Sciences · 2011 · 148 citations

Numerical Analysis, Cox-ingersoll-ross Model, Euler-type Method +15

Multilevel Monte Carlo algorithms for Lévy-driven SDEs with Gaussian correction

Steffen Dereich · The Annals of Applied Probability · 2010 · 96 citations · Full text

Random networks with sublinear preferential attachment: Degree evolutions

Steffen Dereich, Peter Mörters · Electronic Journal of Probability · 2009 · 91 citations · Full text

Network Evolution, Network Science, Graph Theory +12

Infinite-Dimensional Quadrature and Approximation of Distributions

Jakob Creutzig, Steffen Dereich, Thomas Müller-Gronbach et al. · Foundations of Computational Mathematics · 2008 · 72 citations

Numerical Analysis, Infinite-dimensional Quadrature, Engineering +4

On the Link Between Small Ball Probabilities and the Quantization Problem for Gaussian Measures on Banach Spaces

Steffen Dereich, Franz Fehringer, Anis Matoussi et al. · Journal of Theoretical Probability · 2003 · 70 citations