Arnulf Jentzen
ETH Zurich
Address:
Arnulf Jentzen
Seminar for Applied Mathematics
Department of Mathematics
ETH Zurich
Rämistrasse 101
8092 Zürich
Switzerland
Office: Room HG G 58.1
Fon (Secretariat): +41 44 633 4766
Fax: +41 44 632 1104
Office hour: on appointment
Email: arnulf.jentzen (at) sam.math.ethz.ch
Homepage: http://www.ajentzen.de
Homepage at ETH Zurich: https://www.math.ethz.ch/sam/theinstitute/people.html?u=jentzena
Born: November 1983 (age 32)
Links:
[Profile on Google Scholar]
[Profile on ResearchGate]
[Profile on MathSciNet]
[ETH Webmail]
[Stochastic Computation Workshop 2017]
Last update of this homepage: September 27th, 2016
Research group
Current members of the research group
 Sebastian Becker (PhD student at Frankfurt University, Institute of Mathematics, joint supervision with Prof. Dr. Peter E. Kloeden)
 Prof. Dr. Arnulf Jentzen (Head of the research group)
 Ryan Kurniawan (PhD Student at ETH Zurich, DMATH, Seminar for Applied Mathematics)
 Primoz Pusnik (PhD Student at ETH Zurich, DMATH, Seminar for Applied Mathematics)
 Diyora Salimova (PhD student at ETH Zurich, DMATH, Seminar for Applied Mathematics)
 Timo Welti (PhD Student at ETH Zurich, DMATH, Seminar for Applied Mathematics)
Former members of the research group
 Prof. Dr. Sonja Cox (former Postdoc/Fellow, 20122014, now tenuretrack Assistant Professor at the University of Amsterdam)
 Dr. Raphael Kruse (former Postdoc, 20122014, now Head of the Junior Reseach Group "Uncertainty Quantification" at the Technical University of Berlin)
Research areas
 Stochastic analysis (stochastic calculus, wellposedness and regularity analysis for
stochastic ordinary and partial differential equations)
 Numerical analysis (computational stochastics/stochastic numerics, computational finance)
 Analysis of partial differential equations (wellposedness and regularity analysis for partial differential equations)
Editorial boards affiliations
Preprints and publications that did not yet appear
on MathSciNet
 Jentzen, A. and Pusnik, P.,
Exponential moments for numerical approximations of stochastic partial differential equations.
[arXiv] (2016), 44 pages.
 E, W., Hutzenthaler, M., Jentzen, A., and Kruse, T.,
On full history recursive multilevel Picard approximations and numerical approximations of highdimensional nonlinear parabolic partial differential equations.
[arXiv] (2016), 27 pages.
 Hutzenthaler, M., Jentzen, A., and Salimova, D.,
Strong convergence of fulldiscrete nonlinearitytruncated accelerated exponential Eulertype approximations for stochastic KuramotoSivashinsky equations.
[arXiv] (2016), 42 pages.
 Becker, S. and Jentzen, A.,
Strong convergence rates for nonlinearitytruncated Eulertype approximations of stochastic GinzburgLandau equations.
[arXiv] (2016), 58 pages.
 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.
 Jentzen, A. and Pusnik, P.,
Strong convergence rates for an explicit numerical approximation method for
stochastic evolution equations with nonglobally Lipschitz continuous nonlinearities.
[arXiv] (2015), 38 pages.
 Jentzen, A. and Kurniawan, R.,
Weak convergence rates for Eulertype approximations of semilinear stochastic evolution equations
with nonlinear diffusion coefficients.
[arXiv] (2015), 51 pages.
 Conus, D., Jentzen, A. and Kurniawan, R.,
Weak convergence rates of spectral Galerkin approximations for SPDEs with nonlinear diffusion coefficients.
[arXiv] (2014), 29 pages.
 Hutzenthaler, M., Jentzen, A. and Noll, M.,
Strong convergence rates and temporal regularity for CoxIngersollRoss processes and Bessel processes
with accessible boundaries.
[arXiv] (2014), 32 pages.
 Hutzenthaler, M. and Jentzen, A.,
On a perturbation theory and on strong convergence rates for stochastic ordinary and
partial differential equations with nonglobally monotone coefficients.
[arXiv] (2014), 41 pages.
 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.
 Da Prato, G., Jentzen, A. and Röckner, M.,
A mild Ito formula for SPDEs.
[arXiv] (2011), 31 pages.
 Andersson, A., Jentzen, A., and Kurniawan, R.,
Existence, uniqueness, and regularity for stochastic evolution equations with irregular initial values.
[arXiv] (2015), 31 pages.
Revision request for Journal of Mathematical Analysis and Applications.
 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.
Minor revision request for IMA J. Num. Anal..
 Hutzenthaler, M., Jentzen, A. and Wang, X.,
Exponential integrability properties of numerical approximation processes for nonlinear stochastic differential equations.
[arXiv] (2013), 32 pages.
To appear in Mathematics of Computation.
 Jentzen, A., MüllerGronbach, T. and Yaroslavtseva, L.,
On stochastic differential equations with arbitrary slow convergence rates for strong approximation.
Commun. Math. Sci. 14 (2016), no. 6, 14771500.
[arXiv].
Publications according to MathSciNet
 Becker, S., Jentzen, A. and Kloeden, P. E.,
An exponential WagnerPlaten type scheme for SPDEs.
SIAM J. Numer. Anal. 54 (2016), no. 4, 23892426.
[arXiv].
 E, W., Jentzen, A. and Shen, H.,
Renormalized powers of OrnsteinUhlenbeck processes and wellposedness of stochastic GinzburgLandau equations.
Nonlinear Anal.
142 (2016), no. 142, 152193. [arXiv].
 Hutzenthaler, M. and Jentzen, A.,
Numerical approximations of stochastic differential equations with
nonglobally 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, 313362.
[arXiv].
 Hairer, M., Hutzenthaler, M. and Jentzen, A.,
Loss of regularity for Kolmogorov equations.
Ann. Probab.
43 (2015), no. 2, 468527.
[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, 19131966. [arXiv].
 Blömker, D. and Jentzen, A.,
Galerkin approximations for the
stochastic Burgers equation.
SIAM J. Numer. Anal.
51 (2013), no. 1, 694715.
[arXiv].
 Hutzenthaler, M., Jentzen, A. and Kloeden, P. E.,
Strong convergence of an explicit numerical method
for SDEs with nonglobally Lipschitz
continuous coefficients.
Ann. Appl. Probab.
22 (2012), no. 4, 16111641.
[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, 114136.
[arXiv].
 Hutzenthaler, M. and Jentzen, A.,
Convergence of the
stochastic Euler scheme
for locally Lipschitz coefficients.
Found.
Comput. Math.
11 (2011), no. 6, 657706.
[arXiv].

Jentzen, A. and Kloeden, P. E.,
Taylor Approximations for Stochastic
Partial Differential Equations.
CBMSNSF 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, 908950.
[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 nonglobally Lipschitz continuous
coefficients.
Proc. R. Soc. A
467 (2011), no. 2130, 15631576.
[arXiv].
 Jentzen, A.,
Higher order pathwise numerical approximations
of SPDEs with additive noise.
SIAM J. Numer. Anal.
49 (2011),
no. 2, 642667.
 Jentzen, A.,
Taylor expansions of
solutions of stochastic partial
differential equations.
Discrete Contin.
Dyn. Syst. Ser. B
14 (2010), no. 2, 515557.
[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, 532569.
[arXiv].
 Jentzen, A., Leber, F., Schneisgen, D., Berger, A.
and Siegmund., S.,
An improved maximum allowable
transfer interval for Lpstability
of networked control systems.
IEEE Trans. Automat. Control
55 (2010),
no. 1, 179184.
 Jentzen, A. and Kloeden, P. E.,
A unified existence and uniqueness theorem
for stochastic evolution equations.
Bull. Aust. Math. Soc.
81 (2010),
no. 1, 3346.
 Jentzen, A. and Kloeden, P. E.,
The numerical approximation of stochastic partial
differential equations.
Milan
J. Math.
77 (2009), no. 1, 205244.
 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, 140161, London Mathematical Society
Lecture Note Series, 363,
Cambridge University Press, Cambridge, 2009.
 Jentzen, A.,
Pathwise numerical approximations of
SPDEs with additive noise under nonglobal Lipschitz coefficients.
Potential
Anal. 31 (2009), no. 4, 375404.
 Jentzen, A. and Kloeden, P. E.,
Pathwise Taylor schemes
for random ordinary differential
equations.
BIT 49 (2009), no. 1, 113140.
 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, 4164.
 Jentzen, A. and Kloeden, P. E.,
Overcoming the order barrier
in the numerical approximation of
stochastic partial differential
equations with additive
spacetime noise.
Proc. R. Soc. A
465 (2009),
no. 2102, 649667.
 Jentzen, A. and Neuenkirch, A.,
A random Euler scheme for
Carathéodory differential equations.
J.
Comput. Appl. Math.
224 (2009), no. 1, 346359.
 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, 29292944.
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.
