J. H. Witte

zbMath Openwitte.jan-hendrikMaRDI QIDQ2264107

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Why indexing works Applied Stochastic Models in Business and Industry	2019-02-08	Paper
Deep learning for finance: deep portfolios Applied Stochastic Models in Business and Industry	2019-02-08	Paper
Rejoinder to ‘Deep learning for finance: deep portfolios’ Applied Stochastic Models in Business and Industry	2019-02-08	Paper
Monte Carlo methods via a dual approach for some discrete time stochastic control problems Mathematical Methods of Operations Research	2015-03-20	Paper
The effect of nonsmooth payoffs on the penalty approximation of American options SIAM Journal on Financial Mathematics	2014-01-23	Paper
On the use of policy iteration as an easy way of pricing American options SIAM Journal on Financial Mathematics	2013-01-25	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

Research outcomes over time

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