| Publication | Date of Publication | Type |
|---|
Numerical method for feasible and approximately optimal solutions of multi-marginal optimal transport beyond discrete measures
(available as arXiv preprint) | N/A | Paper |
Feasible approximation of matching equilibria for large-scale matching for teams problems
(available as arXiv preprint) | N/A | Paper |
Multilevel Picard algorithm for general semilinear parabolic PDEs with gradient-dependent nonlinearities
(available as arXiv preprint) | N/A | Paper |
Rectified deep neural networks overcome the curse of dimensionality in the numerical approximation of gradient-dependent semilinear heat equations
(available as arXiv preprint) | N/A | Paper |
Numerical method for nonlinear Kolmogorov PDEs via sensitivity analysis
(available as arXiv preprint) | N/A | Paper |
Full error analysis of the random deep splitting method for nonlinear parabolic PDEs and PIDEs with infinite activity
(available as arXiv preprint) | N/A | Paper |
Non-asymptotic estimates for accelerated high order Langevin Monte Carlo algorithms
(available as arXiv preprint) | N/A | Paper |
Multilevel Picard approximation algorithm for semilinear partial integro-differential equations and its complexity analysis
Stochastics and Partial Differential Equations. Analysis and Computations | 2026-08-24 | Paper |
Universal approximation results for neural networks with non-polynomial activation function over non-compact domains
Analysis and Applications (Singapore) | 2026-06-12 | Paper |
Multilevel Picard algorithm for general semilinear parabolic PDEs with gradient-dependent nonlinearities
Journal of Numerical Mathematics | 2026-06-03 | Paper |
Numerical method for nonlinear Kolmogorov PDEs via sensitivity analysis
Applied Mathematics and Optimization | 2026-04-28 | Paper |
Nonconcave stochastic optimal control in finite discrete time under model uncertainty
Mathematical Finance | 2026-03-06 | Paper |
Bounding the difference between the values of robust and non-robust Markov decision problems
Journal of Applied Probability | 2026-01-02 | Paper |
Langevin dynamics based algorithm e-THO POULA for stochastic optimization problems with discontinuous stochastic gradient
Mathematics of Operations Research | 2025-09-30 | Paper |
Deep ReLU neural networks overcome the curse of dimensionality when approximating semilinear partial integro-differential equations
Analysis and Applications (Singapore) | 2025-08-26 | Paper |
Multilevel Picard approximations overcome the curse of dimensionality in the numerical approximation of general semilinear PDEs with gradient-dependent nonlinearities
Journal of Complexity | 2025-07-04 | Paper |
Rectified deep neural networks overcome the curse of dimensionality in the numerical approximation of gradient-dependent semilinear heat equations
Communications in Mathematical Sciences | 2025-06-06 | Paper |
Full error analysis of the random deep splitting method for nonlinear parabolic PDEs and PIDEs
Communications in Nonlinear Science and Numerical Simulation | 2025-03-20 | Paper |
Non-asymptotic convergence bounds for modified tamed unadjusted Langevin algorithm in non-convex setting
Journal of Mathematical Analysis and Applications | 2024-11-20 | Paper |
Non-asymptotic estimates for TUSLA algorithm for non-convex learning with applications to neural networks with ReLU activation function
IMA Journal of Numerical Analysis | 2024-11-01 | Paper |
Neural networks can detect model-free static arbitrage strategies
Applied Mathematics and Optimization | 2024-10-22 | Paper |
Improved robust price bounds for multi-asset derivatives under market-implied dependence information
Finance and Stochastics | 2024-10-16 | Paper |
Rectified deep neural networks overcome the curse of dimensionality when approximating solutions of McKean-Vlasov stochastic differential equations
Journal of Mathematical Analysis and Applications | 2024-10-07 | Paper |
Robust Q-learning algorithm for Markov decision processes under Wasserstein uncertainty
Automatica | 2024-09-16 | Paper |
A bonus-malus framework for cyber risk insurance and optimal cybersecurity provisioning
European Actuarial Journal | 2024-08-26 | Paper |
Detecting data-driven robust statistical arbitrage strategies with deep neural networks
SIAM Journal on Financial Mathematics | 2024-06-18 | Paper |
A Deep Learning Approach to Data-Driven Model-Free Pricing and to Martingale Optimal Transport
IEEE Transactions on Information Theory | 2024-03-19 | Paper |
Binary spatial random field reconstruction from non-Gaussian inhomogeneous time-series observations
Journal of the Franklin Institute | 2024-02-13 | Paper |
Markov decision processes under model uncertainty
Mathematical Finance | 2024-01-31 | Paper |
| Universal Approximation Property of Random Neural Networks | 2023-12-13 | Paper |
| Rectified deep neural networks overcome the curse of dimensionality when approximating solutions of McKean--Vlasov stochastic differential equations | 2023-12-12 | Paper |
| Multilevel Picard approximations overcome the curse of dimensionality in the numerical approximation of general semilinear PDEs with gradient-dependent nonlinearities | 2023-11-20 | Paper |
An efficient Monte Carlo scheme for Zakai equations
Communications in Nonlinear Science and Numerical Simulation | 2023-11-01 | Paper |
| Deep ReLU neural networks overcome the curse of dimensionality when approximating semilinear partial integro-differential equations | 2023-10-24 | Paper |
| Bounding the Difference between the Values of Robust and Non-Robust Markov Decision Problems | 2023-08-10 | Paper |
| Chaotic Hedging with Iterated Integrals and Neural Networks | 2022-09-21 | Paper |
| Multilevel Picard approximation algorithm for semilinear partial integro-differential equations and its complexity analysis | 2022-05-19 | Paper |
| Numerical method for approximately optimal solutions of two-stage distributionally robust optimization with marginal constraints | 2022-05-11 | Paper |
| Improved Robust Price Bounds for Multi-Asset Derivatives under Market-Implied Dependence Information | 2022-04-03 | Paper |
On the stability of the martingale optimal transport problem: a set-valued map approach
Statistics & Probability Letters | 2021-11-12 | Paper |
Model-free price bounds under dynamic option trading
SIAM Journal on Financial Mathematics | 2021-11-05 | Paper |
Deep splitting method for parabolic PDEs
SIAM Journal on Scientific Computing | 2021-09-15 | Paper |
Duality theory for robust utility maximisation
Finance and Stochastics | 2021-08-27 | Paper |
Nonlocal Bertrand and Cournot mean field games with general nonlinear demand schedule
Journal de Mathématiques Pures et Appliquées. Neuvième Série | 2021-03-10 | Paper |
Strong error analysis for stochastic gradient descent optimization algorithms
IMA Journal of Numerical Analysis | 2021-02-24 | Paper |
| Deep learning based numerical approximation algorithms for stochastic partial differential equations and high-dimensional nonlinear filtering problems | 2020-12-02 | Paper |
Pathwise superhedging on prediction sets
Finance and Stochastics | 2019-12-27 | Paper |
Nonconcave robust optimization with discrete strategies under Knightian uncertainty
Mathematical Methods of Operations Research | 2019-11-27 | Paper |
Nonconcave robust optimization with discrete strategies under Knightian uncertainty
Mathematical Methods of Operations Research | 2019-11-27 | Paper |
Stochastic integration and differential equations for typical paths
Electronic Journal of Probability | 2019-09-19 | Paper |
Stochastic integration and differential equations for typical paths
Electronic Journal of Probability | 2019-09-19 | Paper |
| Low-Rank plus Sparse Decomposition of Covariance Matrices using Neural Network Parametrization | 2019-08-01 | Paper |
Compactness criterion for semimartingale laws and semimartingale optimal transport
Transactions of the American Mathematical Society | 2019-07-03 | Paper |
Compactness criterion for semimartingale laws and semimartingale optimal transport
Transactions of the American Mathematical Society | 2019-07-03 | Paper |
Buy-and-hold property for fully incomplete markets when super-replicating Markovian claims
International Journal of Theoretical and Applied Finance | 2019-01-10 | Paper |
Robust utility maximization in discrete-time markets with friction
SIAM Journal on Control and Optimization | 2018-06-01 | Paper |
Super-replication in fully incomplete markets
Mathematical Finance | 2018-05-25 | Paper |
Robust utility maximization with Lévy processes
Mathematical Finance | 2018-04-13 | Paper |
Nonlinear Lévy processes and their characteristics
Transactions of the American Mathematical Society | 2016-10-18 | Paper |
Measurability of semimartingale characteristics with respect to the probability law
Stochastic Processes and their Applications | 2014-09-04 | Paper |
Superreplication under volatility uncertainty for measurable claims
Electronic Journal of Probability | 2014-01-17 | Paper |
A note on asymptotic exponential arbitrage with exponentially decaying failure probability
Journal of Applied Probability | 2013-10-17 | Paper |
A note on asymptotic exponential arbitrage with exponentially decaying failure probability
Journal of Applied Probability | 2013-10-17 | Paper |
