| Publication | Date of Publication | Type |
|---|
Optimal dynamic control of an epidemic
Operations Research | 2024-07-29 | Paper |
Reducing Obizhaeva-Wang-type trade execution problems to LQ stochastic control problems
Finance and Stochastics | 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
Journal of Numerical Mathematics | 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
Probability, Uncertainty and Quantitative Risk | 2022-08-22 | Paper |
Overcoming the curse of dimensionality in the numerical approximation of parabolic partial differential equations with gradient-dependent nonlinearities
Foundations of Computational Mathematics | 2022-08-05 | Paper |
Inhomogeneous affine Volterra processes
Stochastic Processes and their Applications | 2022-06-20 | Paper |
Properties of the EMCEL scheme for approximating irregular diffusions
Journal of Mathematical Analysis and Applications | 2022-01-21 | Paper |
Multilevel Picard iterations for solving smooth semilinear parabolic heat equations
SN Partial Differential Equations and Applications | 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
Journal of Mathematical Analysis and Applications | 2021-11-17 | Paper |
Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models
Finance and Stochastics | 2021-11-02 | Paper |
Overcoming the curse of dimensionality in the numerical approximation of semilinear parabolic partial differential equations
Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences | 2021-10-29 | Paper |
Optimal trade execution in an order book model with stochastic liquidity parameters
SIAM Journal on Financial Mathematics | 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
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 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
Journal of Numerical Mathematics | 2021-05-12 | Paper |
A proof that rectified deep neural networks overcome the curse of dimensionality in the numerical approximation of semilinear heat equations
SN Partial Differential Equations and Applications | 2020-12-16 | Paper |
Wasserstein convergence rates for random bit approximations of continuous Markov processes
Journal of Mathematical Analysis and Applications | 2020-10-28 | Paper |
Technical note: The joint impact of \(F\)-divergences and reference models on the contents of uncertainty sets
Operations Research | 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
The Annals of Applied Probability | 2020-08-17 | Paper |
Approximating exit times of continuous Markov processes
Discrete and Continuous Dynamical Systems. Series B | 2020-08-03 | Paper |
An inverse optimal stopping problem for diffusion processes
Mathematics of Operations Research | 2020-03-12 | Paper |
Stopping with expectation constraints: 3 points suffice
Electronic Journal of Probability | 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
Journal of Scientific Computing | 2019-07-26 | Paper |
Backward stochastic differential equations with non-Markovian singular terminal values
Stochastics and Dynamics | 2019-06-25 | Paper |
A verification theorem for optimal stopping problems with expectation constraints
Applied Mathematics and Optimization | 2019-03-27 | Paper |
Erratum to: ``A verification theorem for optimal stopping problems with expectation constraints
Applied Mathematics and Optimization | 2019-03-27 | Paper |
\(L^p\)-solution for BSDEs with jumps in the case \(p<2\): Corrections to the paper `BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration'
Stochastics | 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
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2017-09-15 | Paper |
WLLN for arrays of nonnegative random variables
Statistics & Probability Letters | 2017-01-16 | Paper |
Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting
Stochastic Processes and their Applications | 2016-08-08 | Paper |
Numerical approximation of irregular SDEs via Skorokhod embeddings
Journal of Mathematical Analysis and Applications | 2016-05-30 | Paper |
BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration
Stochastics | 2016-05-04 | Paper |
Optimal stopping with private information
Journal of Economic Theory | 2015-12-22 | Paper |
Optimal position targeting with stochastic linear-quadratic costs
Banach Center Publications | 2015-04-08 | Paper |
BSDEs with Singular Terminal Condition and a Control Problem with Constraints
SIAM Journal on Control and Optimization | 2014-07-30 | Paper |
Optimal trade execution under price-sensitive risk preferences
Quantitative Finance | 2014-02-20 | Paper |
Hedging forward positions: basis risk versus liquidity costs
SIAM Journal on Financial Mathematics | 2014-01-23 | Paper |
Stabilisation of stochastic single-file dynamics using port-Hamiltonian systems
| N/A | Paper |
