Research | AAU Campus

The Research Information System (German abbreviation: FoDok) of the University of Klagenfurt comprises the academic achievements of researchers for the time interval of their active employment at the University of Klagenfurt. The FoDok also contains the achievements of doctoral students and emeritus/retired researchers.
For the analysis on an individual level please note that the entries in the FoDok do not give a comprehensive overview of the achievements of the individual researchers.

Publications (10)

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Randomized Milstein algorithm for approximation of solutions of jump-diffusion SDEs.

Przybyłowicz P., Schwarz V., Szölgyenyi M.: In: Journal of Computational and Applied Mathematics 2023,
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Stochastic differential equations with irregular coefficients: mind the gap!.

Szölgyenyi M.: In: Internationale Mathematische Nachrichten Wien: Österreichische Mathematische Gesellschaft ÖMG, 2021, pp. 43 - 56.
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Existence, uniqueness, and approximation of solutions of jump-diffusion SDEs with discontinuous drift..

Szölgyenyi M., Przybyłowicz P.: In: Applied Mathematics and Computation Amsterdam: Elsevier B.V., 2021, pp. 126191
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Existence and uniqueness of solutions of SDEs with discontinuous drift and finite activity jumps.

Szölgyenyi M., Przybyłowicz P., Xu F.: In: Statistics & Probability Letters Elsevier, 2021,
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A Deep Neural Network Algorithm for Semilinear Elliptic PDEs with Applications in Insurance Mathematics.

Kremsner S., Steinicke A., Szölgyenyi M.: In: Risks (Computational Finance and Risk Analysis in Insurance, Band 8,Heft 4 ), Basel: MDPI, 2020,
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The Euler-Maruyama scheme for SDEs with irregular drift: convergence rates via reduction to a quadrature problem.

Neuenkirch A., Szölgyenyi M.: In: IMA Journal of Numerical Analysis Oxford: Oxford University Press, 2020, pp. 1164 - 1196.
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Optimal liquidation under partial information with price impact.

Szölgyenyi M., Colaneri K., Eksi Z., Frey R.: In: Stochastic Processes and their Applications Elsevier, 2019,
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An Adaptive Euler--Maruyama Scheme for Stochastic Differential Equations with Discontinuous Drift and its Convergence Analysis.

Szölgyényi M., Szpruch L., Neuenkirch A.: In: SIAM Journal on Numerical Analysis Philadelphia (PA): Society for Industrial and Applied Mathematics (SIAM), 2019, pp. 378 - 403.
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Approximation methods for piecewise deterministic Markov processes and their costs.

Kritzer P., Leobacher G., Szölgyényi M., Thonhauser S.: In: Scandinavian Actuarial Journal Taylor & Francis Online, 2019, pp. 1 - 28.
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Correction note: A strong order 1/2 method for multidimensional SDEs with discontinuous drift.

Szölgyényi M., Leobacher G.: In: The Annals of Applied Probability Institute of Mathematical Statistics, 2019, pp. 3266 - 3269.
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