| Publication | Date of Publication | Type |
|---|
| Optimal dynamic control of an epidemic | 2024-07-29 | Paper |
| Reducing Obizhaeva-Wang-type trade execution problems to LQ stochastic control problems | 2024-07-02 | Paper |
| Deep neural networks with ReLU, leaky ReLU, and softplus activation provably overcome the curse of dimensionality for Kolmogorov partial differential equations with Lipschitz nonlinearities in the $L^p$-sense | 2023-09-24 | Paper |
| Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations | 2023-04-03 | Paper |
| Nonlinear Monte Carlo methods with polynomial runtime for Bellman equations of discrete time high-dimensional stochastic optimal control problems | 2023-03-03 | Paper |
| On the speed of convergence of Picard iterations of backward stochastic differential equations | 2022-08-22 | Paper |
| Overcoming the curse of dimensionality in the numerical approximation of parabolic partial differential equations with gradient-dependent nonlinearities | 2022-08-05 | Paper |
| Inhomogeneous affine Volterra processes | 2022-06-20 | Paper |
| Properties of the EMCEL scheme for approximating irregular diffusions | 2022-01-21 | Paper |
| Multilevel Picard iterations for solving smooth semilinear parabolic heat equations | 2022-01-03 | Paper |
| Self-exciting price impact via negative resilience in stochastic order books | 2021-12-07 | Paper |
| Multilevel Picard approximations for McKean-Vlasov stochastic differential equations | 2021-11-17 | Paper |
| Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models | 2021-11-02 | Paper |
| Overcoming the curse of dimensionality in the numerical approximation of semilinear parabolic partial differential equations | 2021-10-29 | Paper |
| Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters | 2021-09-08 | Paper |
| Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations | 2021-08-24 | Paper |
| A functional limit theorem for coin tossing Markov chains | 2021-06-03 | Paper |
| Overcoming the curse of dimensionality in the numerical approximation of Allen-Cahn partial differential equations via truncated full-history recursive multilevel Picard approximations | 2021-05-12 | Paper |
| A proof that rectified deep neural networks overcome the curse of dimensionality in the numerical approximation of semilinear heat equations | 2020-12-16 | Paper |
| Wasserstein convergence rates for random bit approximations of continuous Markov processes | 2020-10-28 | Paper |
| Technical Note—The Joint Impact ofF-Divergences and Reference Models on the Contents of Uncertainty Sets | 2020-10-20 | Paper |
| Nonlinear Monte Carlo methods with polynomial runtime for high-dimensional iterated nested expectations | 2020-09-29 | Paper |
| Multilevel Picard approximations for high-dimensional semilinear second-order PDEs with Lipschitz nonlinearities | 2020-09-05 | Paper |
| Optimal position targeting via decoupling fields | 2020-08-17 | Paper |
| Approximating exit times of continuous Markov processes | 2020-08-03 | Paper |
| Optimal stopping with private information | 2020-03-12 | Paper |
| Stopping with expectation constraints: 3 points suffice | 2019-08-06 | Paper |
| On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations | 2019-07-26 | Paper |
| Backward stochastic differential equations with non-Markovian singular terminal values | 2019-06-25 | Paper |
| A verification theorem for optimal stopping problems with expectation constraints | 2019-03-27 | Paper |
| Erratum to: ``A verification theorem for optimal stopping problems with expectation constraints | 2019-03-27 | Paper |
| Lp-solution for BSDEs with jumps in the casep<2 | 2018-09-04 | Paper |
| Multi-level Picard approximations of high-dimensional semilinear parabolic differential equations with gradient-dependent nonlinearities | 2017-11-03 | Paper |
| A functional limit theorem for irregular SDEs | 2017-09-15 | Paper |
| WLLN for arrays of nonnegative random variables | 2017-01-16 | Paper |
| Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting | 2016-08-08 | Paper |
| Numerical approximation of irregular SDEs via Skorokhod embeddings | 2016-05-30 | Paper |
| BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration | 2016-05-04 | Paper |
| Optimal stopping with private information | 2015-12-22 | Paper |
| Optimal position targeting with stochastic linear-quadratic costs | 2015-04-08 | Paper |
| BSDEs with Singular Terminal Condition and a Control Problem with Constraints | 2014-07-30 | Paper |
| Optimal trade execution under price-sensitive risk preferences | 2014-02-20 | Paper |
| Hedging forward positions: basis risk versus liquidity costs | 2014-01-23 | Paper |
| Stabilisation of stochastic single-file dynamics using port-Hamiltonian systems | N/A | Paper |
