Short Curriculum Vitae

Research group

Current members of the research group

• Christian Beck (PhD student at ETH Zurich, D-MATH, joint supervision with Prof. Dr. Norbert Hungerbühler)
• Prof. Dr. Arnulf Jentzen (Head of the research group)
• Timo Kroeger (PhD Student at the Faculty of Mathematics and Computer Science, University of Muenster)
• Dr. Benno Kuckuck (Postdoc at the Faculty of Mathematics and Computer Science, University of Muenster)
• Primoz Pusnik (PhD Student at ETH Zurich, D-MATH, Seminar for Applied Mathematics)
• Florian Rossmannek (PhD student at ETH Zurich, D-MATH, joint supervision with Prof. Dr. Patrick Cheridito)
• Philippe von Wurstemberger (PhD student at ETH Zurich, D-MATH, joint supervision with Prof. Dr. Patrick Cheridito)
• Timo Welti (PhD Student at ETH Zurich, D-MATH, Seminar for Applied Mathematics)
• Philipp Zimmermann (PhD student at ETH Zurich, D-MATH, joint supervision with Prof. Dr. Patrick Cheridito)

Former members of the research group

• Dr. Sebastian Becker (former PhD student, joint supervision with Prof. Dr. Peter E. Kloeden, 2010-2017, now Head of Machine Learning Research at Zenai AG)
• Prof. Dr. Sonja Cox (former Postdoc/Fellow, 2012-2014, now associate professor at the University of Amsterdam)
• Dr. Fabian Hornung (former Postdoc/Fellow, 2018-2018, now at SAP)
• Prof. Dr. Raphael Kruse (former Postdoc, 2012-2014, now associate professor at the Martin Luther University Halle-Wittenberg)
• Dr. Ryan Kurniawan (former PhD student, 2014-2018, now Associate at Market Risk Analytics at Morgan Stanley UK Ltd.)
• Prof. Dr. Ariel Neufeld (former Postdoc/Fellow, joint mentoring with Prof. Dr. Patrick Cheridito, 2018-2018, now assistant professor at NTU Singapore)
• Dr. Diyora Salimova (former PhD student, 2015-2019, now Postdoc at ETH Zurich, D-MATH, Seminar for Applied Mathematics)
• Prof. Dr. Michaela Szoelgyenyi (former Postdoc/Fellow, 2017-2018, now full professor at the University of Klagenfurt)
• Dr. Larisa Yaroslavtseva (former Postdoc, 2018-2018, now interim professor at the University of Ulm)

Research areas

• Machine learning (mathematics for deep learning, stochastic gradient descent methods, deep neural networks, empirical risk minimization)
• Stochastic analysis (stochastic calculus, well-posedness and regularity analysis for stochastic ordinary and partial differential equations)
• Numerical analysis (computational stochastics/stochastic numerics, computational finance)
• Analysis of partial differential equations (well-posedness and regularity analysis for partial differential equations)

Current editorial boards affiliations

• Associate Editor for the Annals of Applied Probability (2019-present)
• Associate Editor for the Journal Communications in Mathematical Sciences (CMS) (2015-present)
• Associate Editor for the Journal Discrete and Continuous Dynamical Systems - Series B (DCDS-B) (2018-present)
• Associate Editor for the Journal of Complexity (JoC) (2016-present)
• Division Editor for the Journal of Mathematical Analysis and Applications (JMAA) (2020-present)
• Associate Editor for the SIAM Journal on Numerical Analysis (SINUM) (2016-present)
• Associate Editor for the SIAM Journal on Scientific Computing (SISC) (2020-present)
• Associate Editor for the SIAM / ASA Journal on Uncertainty Quantification (JUQ) (2020-present)
• Associate Editor for the Journal SN Partial Differential Equations and Applications (2019-present)
• Associate Editor for the Journal Zeitschrift für angewandte Mathematik und Physik (ZAMP) (2016-present)

Past editorial boards affiliations

• Associate Editor for the Journal of Mathematical Analysis and Applications (JMAA) (2014-2019)
• Associate Editor of a special issue for the Journal Discrete and Continuous Dynamical Systems - Series B (DCDS-B) (2017-2019, jointly with Prof. Dr. Thomas Caraballo and Prof. Dr. Xiaoying Han)
• Associate Editor of the special issue Stochastic Differential Equations, Stochastic Algorithms, and Applications for the Journal of Mathematical Analysis and Applications (JMAA) (2017-2019, jointly with Prof. Dr. Ulrich Stadtmüller and Prof. Dr. Robert Stelzer)

Preprints and accepted publications

• Bercher, A., Gonon, L., Jentzen, A., Salimova, D., Weak error analysis for stochastic gradient descent optimization algorithms. [arXiv] (2020), 123 pages.
• Cheridito, P., Jentzen, A., Rossmannek, F., Non-convergence of stochastic gradient descent in the training of deep neural networks. [arXiv] (2020), 12 pages.
• Hornung, F., Jentzen, A., Salimova, D., Space-time deep neural network approximations for high-dimensional partial differential equations. [arXiv] (2020), 52 pages.
• Becker, S., Braunwarth, R., Hutzenthaler, M., Jentzen, A., von Wurstemberger, P., Numerical simulations for full history recursive multilevel Picard approximations for systems of high-dimensional partial differential equations. [arXiv] (2020), 21 pages.
• Beck, C., Hutzenthaler, M., Jentzen, A., On nonlinear Feynman-Kac formulas for viscosity solutions of semilinear parabolic partial differential equations. [arXiv] (2020), 54 pages.
• Jentzen, A., Welti, T., Overall error analysis for the training of deep neural networks via stochastic gradient descent with random initialisation. [arXiv] (2020), 51 pages.
• Beck, C., Gonon, L., Jentzen, A., Overcoming the curse of dimensionality in the numerical approximation of high-dimensional semilinear elliptic partial differential equations. [arXiv] (2020), 50 pages.
• Jentzen, A., Kuckuck, B., Mueller-Gronbach, T., Yaroslavtseva, L., Counterexamples to local Lipschitz and local Hölder continuity with respect to the initial values for additive noise driven SDEs with smooth drift coefficient functions with at most polynomially growing derivatives. [arXiv] (2020), 27 pages.
• Becker, S., Cheridito, P., Jentzen, A., Pricing and hedging American-style options with deep learning. [arXiv] (2019), 12 pages.
• Cheridito, P., Jentzen, A., Rossmannek, F., Efficient approximation of high-dimensional functions with deep neural networks. [arXiv] (2019), 19 pages.
• Hutzenthaler, M., Jentzen, A., Kruse, T., Overcoming the curse of dimensionality in the numerical approximation of parabolic partial differential equations with gradient-dependent nonlinearities. [arXiv] (2019), 33 pages.
• Gonon, L., Grohs, P., Jentzen, A., Kofler, D., Siska, D., Uniform error estimates for artificial neural network approximations for heat equations. [arXiv] (2019), 70 pages.
• Giles, M. B., Jentzen, A., Welti, T., Generalised multilevel Picard approximations. [arXiv] (2019), 61 pages.
• Hutzenthaler, M., Jentzen, A., Lindner, F., Pusnik, P., Strong convergence rates on the whole probability space for space-time discrete numerical approximation schemes for stochastic Burgers equations. [arXiv] (2019), 60 pages.
• Beck, C., Jentzen, A., Kuckuck, B., Full error analysis for the training of deep neural networks. [arXiv] (2019), 43 pages.
• Grohs, P., Jentzen, A., Salimova, D., Deep neural network approximations for Monte Carlo algorithms. [arXiv] (2019), 45 pages.
• Jentzen, A., Lindner, F., Pusnik, P., Spatial Sobolev regularity for stochastic Burgers equations with additive trace class noise. [arXiv] (2019), 54 pages.
• Grohs, P., Hornung, F., Jentzen, A., Zimmermann, P., Space-time error estimates for deep neural network approximations for differential equations. [arXiv] (2019), 86 pages.
• Beck, C., Gonon, L., Hutzenthaler, M., Jentzen, A., On existence and uniqueness properties for solutions of stochastic fixed point equations. [arXiv] (2019), 33 pages.
• Becker, S., Cheridito, P., Jentzen, A., Welti, T., Solving high-dimensional optimal stopping problems using deep learning. [arXiv] (2019), 42 pages.
• Beck, C., Hornung, F., Hutzenthaler, M., Jentzen, A., Kruse, T., Overcoming the curse of dimensionality in the numerical approximation of Allen-Cahn partial differential equations via truncated full-history recursive multilevel Picard approximations. [arXiv] (2019), 30 pages.
• Beck, C., Becker, S., Cheridito, P., Jentzen, A., Neufeld, A., Deep splitting method for parabolic PDEs. [arXiv] (2019), 40 pages.
• Berner, J., Elbraechter, D., Grohs, P., Jentzen, A., Towards a regularity theory for ReLU networks -- chain rule and global error estimates. [arXiv] (2019), 5 pages.
• Jentzen, A., Kuckuck, B., Mueller-Gronbach, T., Yaroslavtseva, L., On the strong regularity of degenerate additive noise driven stochastic differential equations with respect to their initial values. [arXiv] (2019), 59 pages.
• Beccari, M., Hutzenthaler, M., Jentzen, A., Kurniawan, R., Lindner, F., Salimova, D., Strong and weak divergence of exponential and linear-implicit Euler approximations for stochastic partial differential equations with superlinearly growing nonlinearities. [arXiv] (2019), 65 pages.
• Cox, S., Jentzen, A., Lindner, F., Weak convergence rates for temporal numerical approximations of stochastic wave equations with multiplicative noise. [arXiv] (2019), 51 pages.
• Hudde, A., Hutzenthaler, M., Jentzen, A., Mazzonetto, S., On the Itô-Alekseev-Gröbner formula for stochastic differential equations. [arXiv] (2018), 29 pages.
• Elbraechter, D., Grohs, P., Jentzen, A., Schwab, C., DNN Expression Rate Analysis of High-dimensional PDEs: Application to Option Pricing. [arXiv] (2018), 50 pages.
• Jentzen, A., Salimova, D., Welti, T., A proof that deep artificial neural networks overcome the curse of dimensionality in the numerical approximation of Kolmogorov partial differential equations with constant diffusion and nonlinear drift coefficients. [arXiv] (2018), 48 pages.
• Berner, J., Grohs, P., Jentzen, A., Analysis of the generalization error: Empirical risk minimization over deep artificial neural networks overcomes the curse of dimensionality in the numerical approximation of Black-Scholes partial differential equations. [arXiv] (2018), 35 pages.
• Hutzenthaler, M., Jentzen, A., Kruse, T., Nguyen, T. A., von Wurstemberger, P., Overcoming the curse of dimensionality in the numerical approximation of semilinear parabolic partial differential equations. [arXiv] (2018), 30 pages.
• Beck, C., Becker, S., Grohs, P., Jaafari, N., Jentzen, A., Solving stochastic differential equations and Kolmogorov equations by means of deep learning. [arXiv] (2018), 56 pages.
• Becker, S., Gess, B., Jentzen, A., Kloeden, P. E., Strong convergence rates for explicit space-time discrete numerical approximations of stochastic Allen-Cahn equations. [arXiv] (2017), 104 pages.
• E, W., Hutzenthaler, M., Jentzen, A., and Kruse, T., Linear scaling algorithms for solving high-dimensional nonlinear parabolic differential equations. [arXiv] (2017), 18 pages.
• Hefter, M., Jentzen, A., and Kurniawan, R., Weak convergence rates for numerical approximations of stochastic partial differential equations with nonlinear diffusion coefficients in UMD Banach spaces. [arXiv] (2016), 51 pages.
• Hutzenthaler, M., Jentzen, A. and Noll, M., Strong convergence rates and temporal regularity for Cox-Ingersoll-Ross processes and Bessel processes with accessible boundaries. [arXiv] (2014), 32 pages.
• Hefter, M., Jentzen, A., Kurniawan, R., Counterexamples to regularities for the derivative processes associated to stochastic evolution equations. [arXiv] (2017), 26 pages. Revision requested from Stoch. Partial Differ. Equ. Anal. Comput..
• Andersson, A., Jentzen, A., and Kurniawan, R., Existence, uniqueness, and regularity for stochastic evolution equations with irregular initial values. [arXiv] (2015), 31 pages. Revision requested from J. Math. Anal. Appl..
• Cox, S., Hutzenthaler, M. and Jentzen, A., Local Lipschitz continuity in the initial value and strong completeness for nonlinear stochastic differential equations. [arXiv] (2013), 54 pages. Revision requested from Memoires of the American Mathematical Society.
• Fehrman, B., Gess, B., Jentzen, A., Convergence rates for the stochastic gradient descent method for non-convex objective functions. [arXiv] (2019), 52 pages. Accepted in J. Mach. Learn. Res.
• Hutzenthaler, M., Jentzen, A., von Wurstemberger, P., Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks. [arXiv] (2019), 71 pages. Accepted in Electronic Journal of Probability
• Jentzen, A., Lindner, F., Pusnik, P., Exponential moment bounds and strong convergence rates for tamed-truncated numerical approximations of stochastic convolutions. [arXiv] (2018), 25 pages. Accepted in Numerical Algorithms.
• Jentzen, A., Kuckuck, B., Neufeld, A., von Wurstemberger, P., Strong error analysis for stochastic gradient descent optimization algorithms. [arXiv] (2018), 75 pages. Accepted in IMA J. Num. Anal.
• Cox, S., Hutzenthaler, M., Jentzen, A., van Neerven, J., and Welti, T., Convergence in Hölder norms with applications to Monte Carlo methods in infinite dimensions. [arXiv] (2016), 38 pages. Accepted in IMA J. Num. Anal.
• Jacobe de Naurois, L., Jentzen, A., and Welti, T., Weak convergence rates for spatial spectral Galerkin approximations of semilinear stochastic wave equations with multiplicative noise. [arXiv] (2015), 27 pages. Accepted in Appl. Math. Optim.
• Grohs, P., Hornung, F., Jentzen, A., von Wurstemberger, P., A proof that artificial neural networks overcome the curse of dimensionality in the numerical approximation of Black-Scholes partial differential equations. [arXiv] (2018), 124 pages. Accepted in Mem. Amer. Math. Soc..

Publications

• Becker, S., Gess, B., Jentzen, A., Kloeden, P. E., Lower and upper bounds for strong approximation errors for numerical approximations of stochastic heat equations. BIT Numerical Mathematics ? (2020). [arXiv].
• Hutzenthaler, M., Jentzen, A., Kruse, T., Nguyen, T. A., A proof that rectified deep neural networks overcome the curse of dimensionality in the numerical approximation of semilinear heat equations. Springer Nat. Part. Diff. Equ. Appl. ? (2020). [arXiv].
• Jentzen, A. and Kurniawan, R., Weak convergence rates for Euler-type approximations of semilinear stochastic evolution equations with nonlinear diffusion coefficients. Found. Comp. Math. ? (2020). [arXiv].
• Hutzenthaler, M. and Jentzen, A., On a perturbation theory and on strong convergence rates for stochastic ordinary and partial differential equations with non-globally monotone coefficients. The Annals of Probability 48 (2020), 53-93. [arXiv].
• Jentzen, A. and Pusnik, P., Strong convergence rates for an explicit numerical approximation method for stochastic evolution equations with non-globally Lipschitz continuous nonlinearities. IMA J. Numer. Anal. 40 (2020), 1005-1050. [arXiv].
• Jentzen, A., von Wurstemberger, P., Lower error bounds for the stochastic gradient descent optimization algorithm: Sharp convergence rates for slowly and fast decaying learning rates. J. Complexity 57 (2020), 101438. [arXiv].
• Da Prato, G., Jentzen, A. and Röckner, M., A mild Ito formula for SPDEs. Trans. Amer. Math. Soc. 372 (2019). [arXiv].
• Beck, C., E, W., Jentzen, A., Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations. J. Nonlinear Sci. 29 (2019), 1563-1619. [arXiv].
• Jentzen, A., Lindner, F., Pusnik, P., On the Alekseev-Gröbner formula in Banach spaces. Discrete Contin. Dyn. Syst. Ser. B 24 (2019), 4475-4511. [arXiv].
• Becker, S., Cheridito, P., Jentzen, A., Deep optimal stopping. J. Mach. Learn. Res. 20 (2019), 1-25. [arXiv].
• E, W., Hutzenthaler, M., Jentzen, A., Kruse, T., On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations. J. Sci. Comput. 79 (2019), 1534-1571. [arXiv].
• Andersson, A., Hefter, M., Jentzen, A., and Kurniawan, R., Regularity properties for solutions of infinite dimensional Kolmogorov equations in Hilbert spaces. Potential Analysis 50 (2019), 347-379. [arXiv].
• Conus, D., Jentzen, A. and Kurniawan, R., Weak convergence rates of spectral Galerkin approximations for SPDEs with nonlinear diffusion coefficients. Ann. Appl. Probab. 29 (2019), 653-716. [arXiv].
• Becker, S. and Jentzen, A., Strong convergence rates for nonlinearity-truncated Euler-type approximations of stochastic Ginzburg-Landau equations. Stochastic Process. Appl. 129 (2018), 28-69. [arXiv].
• Hefter, M., Jentzen, A., On arbitrarily slow convergence rates for strong numerical approximations of Cox-Ingersoll-Ross processes and squared Bessel processes. Finance Stoch. 23 (2019), 139-172. [arXiv].
• Jentzen, A., Salimova, D., Welti, T., Strong convergence for explicit space-time discrete numerical approximation methods for stochastic Burgers equations. J. Math. Anal. Appl. 469 (2019), 661-704. [arXiv].
• Hutzenthaler, M., Jentzen, A., Salimova, D., Strong convergence of full-discrete nonlinearity-truncated accelerated exponential Euler-type approximations for stochastic Kuramoto-Sivashinsky equations. Comm. Math. Sci. 16 (2018), 1489-1529. [arXiv].
• Cox, S., Jentzen, A., Kurniawan, R., and Pusnik, P., On the mild Ito formula in Banach spaces. Discrete Contin. Dyn. Syst. Ser. B. 23 (2018), 2217-2243. [arXiv].
• Jentzen, A. and Pusnik, P., Exponential moments for numerical approximations of stochastic partial differential equations. SPDE: Anal. and Comp. 6 (2018), 565-617. [arXiv].
• Han, J., Jentzen, A., E, W., Solving high-dimensional partial differential equations using deep learning. Proc. Natl. Acad. Sci. 115 (2018), 8505-8510. [arXiv].
• Jacobe de Naurois, L., Jentzen, A., and Welti, T., Lower bounds for weak approximation errors for spatial spectral Galerkin approximations of stochastic wave equations. Stochastic partial differential equations and related fields, 237-248, Springer Proc. Math. Stat., 229, Springer, Cham, 2018. [arXiv].
• Hutzenthaler, M., Jentzen, A. and Wang, X., Exponential integrability properties of numerical approximation processes for nonlinear stochastic differential equations. Math. Comp. 87 (2018), 1353-1413. [arXiv].
• Gerencsér, M., Jentzen, A., and Salimova, D., On stochastic differential equations with arbitrarily slow convergence rates for strong approximation in two space dimensions. Proc. Roy. Soc. London A 473 (2017). [arXiv].
• E, W., Han, J., Jentzen, A., Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations. Commun. Math. Stat. 5 (2017), 349-380. [arXiv].
• Andersson, A., Jentzen, A., Kurniawan, R., and Welti, T., On the differentiability of solutions of stochastic evolution equations with respect to their initial values. Nonlinear Analysis 162 (2017), 128-161. [arXiv].
• Jentzen, A., Müller-Gronbach, T., and Yaroslavtseva, L., On stochastic differential equations with arbitrary slow convergence rates for strong approximation. Commun. Math. Sci. 14 (2016), no. 6, 1477-1500. [arXiv].
• Becker, S., Jentzen, A. and Kloeden, P. E., An exponential Wagner-Platen type scheme for SPDEs. SIAM J. Numer. Anal. 54 (2016), no. 4, 2389-2426. [arXiv].
• E, W., Jentzen, A. and Shen, H., Renormalized powers of Ornstein-Uhlenbeck processes and well-posedness of stochastic Ginzburg-Landau equations. Nonlinear Anal. 142 (2016), no. 142, 152-193. [arXiv].
• Hutzenthaler, M. and Jentzen, A., Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients. Mem. Amer. Math. Soc. 236 (2015), no. 1112, 99 pages. [arXiv].
• Jentzen, A. and Röckner, M., A Milstein scheme for SPDEs. Found. Comput. Math. 15 (2015), no. 2, 313-362. [arXiv].
• Hairer, M., Hutzenthaler, M. and Jentzen, A., Loss of regularity for Kolmogorov equations. Ann. Probab. 43 (2015), no. 2, 468-527. [arXiv].
• Hutzenthaler, M., Jentzen, A. and Kloeden, P. E., Divergence of the multilevel Monte Carlo Euler method for nonlinear stochastic differential equations. Ann. Appl. Probab. 23 (2013), no. 5, 1913-1966. [arXiv].
• Blömker, D. and Jentzen, A., Galerkin approximations for the stochastic Burgers equation. SIAM J. Numer. Anal. 51 (2013), no. 1, 694-715. [arXiv].
• Hutzenthaler, M., Jentzen, A. and Kloeden, P. E., Strong convergence of an explicit numerical method for SDEs with non-globally Lipschitz continuous coefficients. Ann. Appl. Probab. 22 (2012), no. 4, 1611-1641. [arXiv].
• Jentzen, A. and Röckner, M., Regularity analysis for stochastic partial differential equations with nonlinear multiplicative trace class noise. J. Differential Equations 252 (2012), no. 1, 114-136. [arXiv].
• Hutzenthaler, M. and Jentzen, A., Convergence of the stochastic Euler scheme for locally Lipschitz coefficients. Found. Comput. Math. 11 (2011), no. 6, 657-706. [arXiv].
• Jentzen, A. and Kloeden, P. E., Taylor Approximations for Stochastic Partial Differential Equations. CBMS-NSF Regional Conference Series in Applied Mathematics 83, Society for Industrial and Applied Mathematics (SIAM), Philadelphia, PA, 2011. xiv+211 pp.
• Jentzen, A., Kloeden, P. E. and Winkel, G., Efficient simulation of nonlinear parabolic SPDEs with additive noise. Ann. Appl. Probab. 21 (2011), no. 3, 908-950. [arXiv].
• Hutzenthaler, M., Jentzen, A. and Kloeden, P. E., Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients. Proc. R. Soc. A 467 (2011), no. 2130, 1563-1576. [arXiv].
• Jentzen, A., Higher order pathwise numerical approximations of SPDEs with additive noise. SIAM J. Numer. Anal. 49 (2011), no. 2, 642-667.
• Jentzen, A., Taylor expansions of solutions of stochastic partial differential equations. Discrete Contin. Dyn. Syst. Ser. B 14 (2010), no. 2, 515-557. [arXiv].
• Jentzen, A. and Kloeden, P. E., Taylor expansions of solutions of stochastic partial differential equations with additive noise. Ann. Probab. 38 (2010), no. 2, 532-569. [arXiv].
• Jentzen, A., Leber, F., Schneisgen, D., Berger, A. and Siegmund., S., An improved maximum allowable transfer interval for Lp-stability of networked control systems. IEEE Trans. Automat. Control 55 (2010), no. 1, 179-184.
• Jentzen, A. and Kloeden, P. E., A unified existence and uniqueness theorem for stochastic evolution equations. Bull. Aust. Math. Soc. 81 (2010), no. 1, 33-46.
• Jentzen, A. and Kloeden, P. E., The numerical approximation of stochastic partial differential equations. Milan J. Math. 77 (2009), no. 1, 205-244.
• Jentzen, A., Kloeden, P. E. and Neuenkirch, A., Pathwise convergence of numerical schemes for random and stochastic differential equations. Foundations of Computational Mathematics, Hong Kong 2008, 140-161, London Mathematical Society Lecture Note Series, 363, Cambridge University Press, Cambridge, 2009.
• Jentzen, A., Pathwise numerical approximations of SPDEs with additive noise under non-global Lipschitz coefficients. Potential Anal. 31 (2009), no. 4, 375-404.
• Jentzen, A. and Kloeden, P. E., Pathwise Taylor schemes for random ordinary differential equations. BIT 49 (2009), no. 1, 113-140.
• Jentzen, A., Kloeden, P. E. and Neuenkirch, A., Pathwise approximation of stochastic differential equations on domains: higher order convergence rates without global Lipschitz coefficients. Numer. Math. 112 (2009), no. 1, 41-64.
• Jentzen, A. and Neuenkirch, A., A random Euler scheme for Carathéodory differential equations. J. Comput. Appl. Math. 224 (2009), no. 1, 346-359.
• Jentzen, A. and Kloeden, P. E., Overcoming the order barrier in the numerical approximation of stochastic partial differential equations with additive space-time noise. Proc. R. Soc. A 465 (2009), no. 2102, 649-667.
• Kloeden, P. E. and Jentzen, A., Pathwise convergent higher order numerical schemes for random ordinary differential equations. Proc. R. Soc. A 463 (2007), no. 2087, 2929-2944.

Theses

• Jentzen, A., Taylor Expansions for Stochastic Partial Differential Equations. PhD thesis (2009), Frankfurt University, Germany.
• Jentzen, A., Numerische Verfahren hoher Ordnung für zufällige Differentialgleichungen. Diploma thesis (2007), Frankfurt University, Germany.