| Publication | Date of Publication | Type |
|---|
Contagious McKean-Vlasov problems with common noise: from smooth to singular feedback through hitting times
Electronic Journal of Probability | 2025-08-05 | Paper |
Randomness and early termination: what makes a game exciting?
Probability Theory and Related Fields | 2025-06-26 | Paper |
Markov decision processes with observation costs: framework and computation with a penalty scheme
Mathematics of Operations Research | 2025-06-02 | Paper |
First-order convergence of Milstein schemes for McKean-Vlasov equations and interacting particle systems
Proceedings of the Royal Society of London. A. Mathematical, Physical and Engineering Sciences | 2025-05-07 | Paper |
Asymptotic expansions of evolution equations with fast volatility
Multiscale Modeling & Simulation | 2025-03-25 | Paper |
| Convergence of the Euler-Maruyama particle scheme for a regularised McKean-Vlasov equation arising from the calibration of local-stochastic volatility models | 2025-03-17 | Paper |
\textit{A posteriori} error estimates for fully coupled McKean-Vlasov forward-backward SDEs
IMA Journal of Numerical Analysis | 2024-11-01 | Paper |
Milstein schemes and antithetic multilevel Monte Carlo sampling for delay McKean-Vlasov equations and interacting particle systems
IMA Journal of Numerical Analysis | 2024-11-01 | Paper |
A fast iterative PDE-based algorithm for feedback controls of nonsmooth mean-field control problems
SIAM Journal on Scientific Computing | 2024-09-05 | Paper |
An explicit Milstein-type scheme for interacting particle systems and McKean-Vlasov SDEs with common noise and non-differentiable drift coefficients
The Annals of Applied Probability | 2024-08-21 | Paper |
Convergence of policy gradient methods for finite-horizon exploratory linear-quadratic control problems
SIAM Journal on Control and Optimization | 2024-04-23 | Paper |
Simulation of Conditional Expectations Under Fast Mean-Reverting Stochastic Volatility Models
Springer Proceedings in Mathematics & Statistics | 2024-02-14 | Paper |
Linear Convergence of a Policy Gradient Method for Some Finite Horizon Continuous Time Control Problems
SIAM Journal on Control and Optimization | 2024-01-02 | Paper |
Arbitrage-Free Neural-SDE Market Models
Applied Mathematical Finance | 2023-11-23 | Paper |
| Mean-field games of speedy information access with observation costs | 2023-09-14 | Paper |
Hedging Option Books Using Neural-SDE Market Models
Applied Mathematical Finance | 2023-08-07 | Paper |
| Contagious McKean--Vlasov problems with common noise: from smooth to singular feedback through hitting times | 2023-07-20 | Paper |
| Randomness and early termination: what makes a game exciting? | 2023-06-12 | Paper |
Convergence of a time-stepping scheme to the free boundary in the supercooled Stefan problem
The Annals of Applied Probability | 2023-06-05 | Paper |
Deep xVA Solver: A Neural Network–Based Counterparty Credit Risk Management Framework
SIAM Journal on Financial Mathematics | 2023-06-01 | Paper |
Well-posedness and numerical schemes for one-dimensional McKean-Vlasov equations and interacting particle systems with discontinuous drift
BIT | 2022-11-22 | Paper |
Analysis of sparse grid multilevel estimators for multi-dimensional Zakai equations
(available as arXiv preprint) | 2022-11-01 | Paper |
| An explicit Milstein-type scheme for interacting particle systems and McKean--Vlasov SDEs with common noise and non-differentiable drift coefficients | 2022-08-22 | Paper |
| Implicit and fully discrete approximation of the supercooled Stefan problem in the presence of blow-ups | 2022-06-29 | Paper |
| Estimating risks of option books using neural-SDE market models | 2022-02-14 | Paper |
| Markov decision processes with observation costs: framework and computation with a penalty scheme | 2022-01-19 | Paper |
Semi-analytical solution of a McKean-Vlasov equation with feedback through hitting a boundary
European Journal of Applied Mathematics | 2021-12-08 | Paper |
| Optimal bailout strategies resulting from the drift controlled supercooled Stefan problem | 2021-11-02 | Paper |
Regularity and stability of feedback relaxed controls
SIAM Journal on Control and Optimization | 2021-09-22 | Paper |
An adaptive Euler-Maruyama scheme for Mckean-Vlasov SDEs with super-linear growth and application to the mean-field Fitzhugh-Nagumo model
Journal of Computational and Applied Mathematics | 2021-09-17 | Paper |
| A fast iterative PDE-based algorithm for feedback controls of nonsmooth mean-field control problems | 2021-08-15 | Paper |
A forward equation for barrier options under the Brunick \& Shreve Markovian projection
Quantitative Finance | 2021-07-16 | Paper |
Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations and jumps
Applied Mathematics and Optimization | 2021-07-15 | Paper |
Stability and convergence of second order backward differentiation schemes for parabolic Hamilton-Jacobi-Bellman equations
Numerische Mathematik | 2021-07-06 | Paper |
Detecting and repairing arbitrage in traded option prices
Applied Mathematical Finance | 2021-06-21 | Paper |
A neural network-based policy iteration algorithm with global \(H^2\)-superlinear convergence for stochastic games on domains
Foundations of Computational Mathematics | 2021-06-08 | Paper |
A penalty scheme and policy iteration for nonlocal HJB variational inequalities with monotone nonlinearities
Computers & Mathematics with Applications | 2021-05-27 | Paper |
Strong order 1/2 convergence of full truncation Euler approximations to the Cox-Ingersoll-Ross process
IMA Journal of Numerical Analysis | 2021-03-31 | Paper |
A numerical scheme for the quantile hedging problem
SIAM Journal on Financial Mathematics | 2021-03-11 | Paper |
The non-locality of Markov chain approximations to two-dimensional diffusions
Mathematics and Computers in Simulation | 2021-03-01 | Paper |
Executive stock option exercise with full and partial information on a drift change point
SIAM Journal on Financial Mathematics | 2021-01-15 | Paper |
Duality-based a posteriori error estimates for some approximation schemes for optimal investment problems
Computers & Mathematics with Applications | 2020-11-20 | Paper |
| Path regularity of coupled McKean-Vlasov FBSDEs | 2020-11-12 | Paper |
Rectified deep neural networks overcome the curse of dimensionality for nonsmooth value functions in zero-sum games of nonlinear stiff systems
Analysis and Applications | 2020-11-10 | Paper |
| Well-posedness and tamed Euler schemes for McKean-Vlasov equations driven by L\'evy noise | 2020-10-16 | Paper |
| Optimal regularity of extended mean field controls and their piecewise constant approximation | 2020-09-17 | Paper |
| A posteriori error estimates for fully coupled McKean-Vlasov forward-backward SDEs | 2020-07-15 | Paper |
| Milstein schemes and antithetic multilevel Monte Carlo sampling for delay McKean-Vlasov equations and interacting particle systems | 2020-05-03 | Paper |
Probabilistic error analysis for some approximation schemes to optimal control problems
Systems & Control Letters | 2020-04-22 | Paper |
| First order convergence of Milstein schemes for McKean-Vlasov equations and interacting particle systems | 2020-04-07 | Paper |
Some regularity and convergence results for parabolic Hamilton-Jacobi-Bellman equations in bounded domains
Journal of Differential Equations | 2020-03-24 | Paper |
Error estimates of penalty schemes for quasi-variational inequalities arising from impulse control problems
SIAM Journal on Control and Optimization | 2020-01-22 | Paper |
Stability and error analysis of an implicit Milstein finite difference scheme for a two-dimensional Zakai SPDE
BIT | 2019-11-27 | Paper |
Improved order 1/4 convergence for piecewise constant policy approximation of stochastic control problems
Electronic Communications in Probability | 2019-09-19 | Paper |
Improved order 1/4 convergence for piecewise constant policy approximation of stochastic control problems
Electronic Communications in Probability | 2019-09-19 | Paper |
A penalty scheme for monotone systems with interconnected obstacles: convergence and error estimates
SIAM Journal on Numerical Analysis | 2019-09-02 | Paper |
Simulation of a simple particle system interacting through hitting times
Discrete and Continuous Dynamical Systems. Series B | 2019-08-28 | Paper |
Transition probability of Brownian motion in the octant and its application to default modelling
Applied Mathematical Finance | 2019-05-15 | Paper |
Calibration of a hybrid local-stochastic volatility stochastic rates model with a control variate particle method
SIAM Journal on Financial Mathematics | 2019-05-14 | Paper |
Efficient exposure computation by risk factor decomposition
Quantitative Finance | 2019-02-06 | Paper |
Strong convergence rates for Euler approximations to a class of stochastic path-dependent volatility models
SIAM Journal on Numerical Analysis | 2018-12-19 | Paper |
Boundary mesh refinement for semi-Lagrangian schemes
Hamilton-Jacobi-Bellman Equations | 2018-11-23 | Paper |
Analysis of multi-index Monte Carlo estimators for a Zakai SPDE
(available as arXiv preprint) | 2018-10-22 | Paper |
High-order filtered schemes for time-dependent second order HJB equations
ESAIM: Mathematical Modelling and Numerical Analysis | 2018-08-10 | Paper |
Simulation of particle systems interacting through hitting times
(available as arXiv preprint) | 2018-05-29 | Paper |
A penalty scheme and policy iteration for nonlocal HJB variational inequalities with monotone drivers
(available as arXiv preprint) | 2018-05-16 | Paper |
Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets
SIAM Journal on Financial Mathematics | 2018-04-16 | Paper |
Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations and jumps
(available as arXiv preprint) | 2018-03-10 | Paper |
Error analysis of truncated expansion solutions to high-dimensional parabolic PDEs
ESAIM: Mathematical Modelling and Numerical Analysis | 2018-02-02 | Paper |
Boundary treatment and multigrid preconditioning for semi-Lagrangian schemes applied to Hamilton-Jacobi-Bellman equations
Journal of Scientific Computing | 2017-08-22 | Paper |
A Partial Fourier Transform Method for a Class of Hypoelliptic Kolmogorov Equations
SIAM Journal on Numerical Analysis | 2017-07-27 | Paper |
Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process
Discrete and Continuous Dynamical Systems. Series B | 2016-12-21 | Paper |
Piecewise constant policy approximations to Hamilton-Jacobi-Bellman equations
Applied Numerical Mathematics | 2016-03-09 | Paper |
Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives
Methodology and Computing in Applied Probability | 2015-09-23 | Paper |
The impact of a natural time change on the convergence of the Crank-Nicolson scheme
IMA Journal of Numerical Analysis | 2014-08-06 | Paper |
The effect of nonsmooth payoffs on the penalty approximation of American options
SIAM Journal on Financial Mathematics | 2014-01-23 | Paper |
Analysis of linear difference schemes in the sparse grid combination technique
IMA Journal of Numerical Analysis | 2013-05-16 | Paper |
On the use of policy iteration as an easy way of pricing American options
SIAM Journal on Financial Mathematics | 2013-01-25 | Paper |
Stochastic finite differences and multilevel Monte Carlo for a class of SPDEs in finance
SIAM Journal on Financial Mathematics | 2013-01-25 | Paper |
Mean-square stability and error analysis of implicit time-stepping schemes for linear parabolic SPDEs with multiplicative Wiener noise in the first derivative
International Journal of Computer Mathematics | 2013-01-18 | Paper |
Penalty methods for the solution of discrete HJB equations -- continuous control and obstacle problems
SIAM Journal on Numerical Analysis | 2012-08-23 | Paper |
A penalty method for the numerical solution of Hamilton-Jacobi-Bellman (HJB) equations in finance
SIAM Journal on Numerical Analysis | 2011-09-14 | Paper |
Modelling bonds and credit default swaps using a structural model with contagion
Quantitative Finance | 2009-02-23 | Paper |
Modelling bonds and credit default swaps using a structural model with contagion
Quantitative Finance | 2009-02-23 | Paper |
Efficient Hierarchical Approximation of High‐Dimensional Option Pricing Problems
SIAM Journal on Scientific Computing | 2008-02-25 | Paper |
On multigrid for anisotropic equations and variational inequalities ``pricing multi-dimensional European and American options''
Computing and Visualization in Science | 2005-06-14 | Paper |
| scientific article; zbMATH DE number 2134189 (Why is no real title available?) | 2005-02-15 | Paper |
