Dr. S.G. (Sonja) Cox
Faculty of Science
KDV
Visiting address
- Science Park 107
- Room number: F3.36
Postal address
- Postbus 94248
1090 GE Amsterdam
Contact details
- Personal homepage
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Publications
2022
Boehm, U., Cox, S., Gantner, G., & Stevenson, R. (2022). Efficient numerical approximation of a non-regular Fokker–Planck equation associated with first-passage time distributions. Bit : numerical mathematics , 62(4), 1355–1382 . https://doi.org/10.1007/s10543-022-00914-2 [details]- Cox, S., Karbach, S., & Khedher, A. (2022). Affine pure-jump processes on positive Hilbert–Schmidt operators. Stochastic Processes and their Applications, 151, 191-229. https://doi.org/10.1016/j.spa.2022.05.008 [details]
- Cox, S., Karbach, S., & Khedher, A. (2022). An infinite-dimensional affine stochastic volatility model. Mathematical Finance, 32(3), 878-906. https://doi.org/10.1111/mafi.12347 [details]
2021
- Boehm, U., Cox, S., Gantner, G., & Stevenson, R. (2021). Fast solutions for the first-passage distribution of diffusion models with space-time-dependent drift functions and time-dependent boundaries. Journal of Mathematical Psychology, 105, [102613]. https://doi.org/10.1016/j.jmp.2021.102613 [details]
- Cox, S., Hutzenthaler, M., Jentzen, A., van Neerven, J., & Welti, T. (2021). Convergence in Hölder norms with applications to Monte Carlo methods in infinite dimensions. IMA Journal of Numerical Analysis, 2020(00), [drz063]. https://doi.org/10.1093/imanum/drz063 [details]
2020
- Cox, S. G., & Kirchner, K. (2020). Regularity and convergence analysis in Sobolev and Hölder spaces for generalized Whittle–Matérn fields. Numerische Mathematik, 146(4), 819-873. https://doi.org/10.1007/s00211-020-01151-x [details]
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Ancillary activities
- No ancillary activities
Boehm, U., Cox, S., Gantner, G., & Stevenson, R. (2022). Efficient numerical approximation of a non-regular Fokker–Planck equation associated with first-passage time distributions. Bit : numerical mathematics , 62(4), 1355–1382 .