| A strong order method for multidimensional SDEs with discontinuous drift G Leobacher, M Szölgyenyi | 68 | 2017 |
| Convergence of the Euler–Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient G Leobacher, M Szölgyenyi Numerische Mathematik 138, 219-239, 2018 | 62 | 2018 |
| A numerical method for SDEs with discontinuous drift G Leobacher, M Szölgyenyi BIT Numerical Mathematics 56 (1), 151-162, 2016 | 58 | 2016 |
| An Adaptive Euler--Maruyama Scheme for Stochastic Differential Equations with Discontinuous Drift and its Convergence Analysis A Neuenkirch, M Szölgyenyi, L Szpruch SIAM Journal on Numerical Analysis 57 (1), 378-403, 2019 | 54 | 2019 |
| The Euler–Maruyama scheme for SDEs with irregular drift: convergence rates via reduction to a quadrature problem A Neuenkirch, M Szölgyenyi IMA Journal of Numerical Analysis 41 (2), 1164-1196, 2021 | 36 | 2021 |
| Optimal control of an energy storage facility under a changing economic environment and partial information AA Shardin, M Szölgyenyi International Journal of Theoretical and Applied Finance 19 (04), 1650026, 2016 | 28 | 2016 |
| On the existence of solutions of a class of SDEs with discontinuous drift and singular diffusion G Leobacher, M Szölgyenyi, S Thonhauser | 28 | 2015 |
| A deep neural network algorithm for semilinear elliptic PDEs with applications in insurance mathematics S Kremsner, A Steinicke, M Szölgyenyi Risks 8 (4), 136, 2020 | 24 | 2020 |
| Optimal liquidation under partial information with price impact K Colaneri, Z Eksi, R Frey, M Szölgyenyi Stochastic Processes and their Applications 130 (4), 1913-1946, 2020 | 18* | 2020 |
| Bayesian dividend optimization and finite time ruin probabilities G Leobacher, M Szölgyenyi, S Thonhauser Stochastic Models 30 (2), 216-249, 2014 | 15 | 2014 |
| Modeling and performance of certain put-write strategies G Larcher, L Del Chicca, M Szölgyenyi The Journal of Alternative Investments 15 (4), 74, 2013 | 15 | 2013 |
| Existence, uniqueness, and approximation of solutions of jump-diffusion SDEs with discontinuous drift P Przybyłowicz, M Szölgyenyi Applied Mathematics and Computation 403, 126191, 2021 | 14 | 2021 |
| Dividend maximization in a hidden Markov switching model M Szölgyenyi Statistics & Risk Modeling 32 (3-4), 143-158, 2015 | 12 | 2015 |
| Utility indifference pricing of insurance catastrophe derivatives A Eichler, G Leobacher, M Szölgyenyi European actuarial journal 7, 515-534, 2017 | 9 | 2017 |
| Existence and uniqueness of solutions of SDEs with discontinuous drift and finite activity jumps P Przybyłowicz, M Szölgyenyi, F Xu Statistics & Probability Letters 174, 109072, 2021 | 8 | 2021 |
| Approximation methods for piecewise deterministic Markov processes and their costs P Kritzer, G Leobacher, M Szölgyenyi, S Thonhauser Scandinavian Actuarial Journal 2019 (4), 308-335, 2019 | 7 | 2019 |
| A higher-order approximation method for jump-diffusion SDEs with a discontinuous drift coefficient P Przybyłowicz, V Schwarz, M Szölgyenyi Journal of Mathematical Analysis and Applications 538 (1), 128319, 2024 | 6 | 2024 |
| Correction note: A strong order 1/2 method for multidimensional sdes with discontinuous drift G Leobacher, M Szölgyenyi | 5 | 2019 |
| Convergence of the tamed-Euler-Maruyama method for SDEs with discontinuous and polynomially growing drift K Spendier, M Szölgyenyi arXiv preprint arXiv:2212.08839, 2022 | 4 | 2022 |
| Stochastic differential equations with irregular coefficients:~ mind the gap! M Szölgyenyi arXiv preprint arXiv:2104.11505, 2021 | 4 | 2021 |
Gunther LeobacherInstitute of Mathematics and Scientific ComputingVerified email at uni-graz.at
