Arnulf Jentzen

Arnulf Jentzen is appointed as a Visiting Fellow in the Department of Applied and Computational Mathematics at Princeton University. His research focuses on analytical and numerical aspects of stochastic differential equations with non-globally Lipschitz continuous nonlinearities.

Ebooks

Taylor Approximations for Stochastic Partial Differential Equations

Local Lipschitz Continuity in the Initial Value and Strong Completeness for Nonlinear Stochastic Differential Equations

Numerical Approximations of Stochastic Differential Equations with Non-Globally Lipschitz Continuous Coefficients

A Proof that Artificial Neural Networks Overcome the Curse of Dimensionality in the Numerical Approximation of Black–Scholes Partial Differential Equations