| Publication | Date of Publication | Type |
|---|
| Non-asymptotic convergence bounds for modified tamed unadjusted Langevin algorithm in non-convex setting | 2024-11-20 | Paper |
| Non-asymptotic estimates for TUSLA algorithm for non-convex learning with applications to neural networks with ReLU activation function | 2024-11-01 | Paper |
| Neural networks can detect model-free static arbitrage strategies | 2024-10-22 | Paper |
| Improved robust price bounds for multi-asset derivatives under market-implied dependence information | 2024-10-16 | Paper |
| Rectified deep neural networks overcome the curse of dimensionality when approximating solutions of McKean-Vlasov stochastic differential equations | 2024-10-07 | Paper |
| Robust \(Q\)-learning algorithm for Markov decision processes under Wasserstein uncertainty | 2024-09-16 | Paper |
| A bonus-malus framework for cyber risk insurance and optimal cybersecurity provisioning | 2024-08-26 | Paper |
| Detecting data-driven robust statistical arbitrage strategies with deep neural networks | 2024-06-18 | Paper |
| A Deep Learning Approach to Data-Driven Model-Free Pricing and to Martingale Optimal Transport | 2024-03-19 | Paper |
| Binary spatial random field reconstruction from non-Gaussian inhomogeneous time-series observations | 2024-02-13 | Paper |
| Markov decision processes under model uncertainty | 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 | 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 | 2021-11-12 | Paper |
| Model-Free Price Bounds Under Dynamic Option Trading | 2021-11-05 | Paper |
| Deep Splitting Method for Parabolic PDEs | 2021-09-15 | Paper |
| Duality theory for robust utility maximisation | 2021-08-27 | Paper |
| Nonlocal Bertrand and Cournot mean field games with general nonlinear demand schedule | 2021-03-10 | Paper |
| Strong error analysis for stochastic gradient descent optimization algorithms | 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 | 2019-12-27 | Paper |
| Nonconcave robust optimization with discrete strategies under Knightian uncertainty | 2019-11-27 | Paper |
| Stochastic integration and differential equations for typical paths | 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 | 2019-07-03 | Paper |
| BUY-AND-HOLD PROPERTY FOR FULLY INCOMPLETE MARKETS WHEN SUPER-REPLICATING MARKOVIAN CLAIMS | 2019-01-10 | Paper |
| Robust Utility Maximization in Discrete-Time Markets with Friction | 2018-06-01 | Paper |
| Super‐replication in fully incomplete markets | 2018-05-25 | Paper |
| ROBUST UTILITY MAXIMIZATION WITH LÉVY PROCESSES | 2018-04-13 | Paper |
| Nonlinear Lévy processes and their characteristics | 2016-10-18 | Paper |
| Measurability of semimartingale characteristics with respect to the probability law | 2014-09-04 | Paper |
| Superreplication under volatility uncertainty for measurable claims | 2014-01-17 | Paper |
| A note on asymptotic exponential arbitrage with exponentially decaying failure probability | 2013-10-17 | Paper |
| Numerical method for feasible and approximately optimal solutions of multi-marginal optimal transport beyond discrete measures | N/A | Paper |
| Feasible approximation of matching equilibria for large-scale matching for teams problems | N/A | Paper |
| Multilevel Picard algorithm for general semilinear parabolic PDEs with gradient-dependent nonlinearities | N/A | Paper |
| Rectified deep neural networks overcome the curse of dimensionality in the numerical approximation of gradient-dependent semilinear heat equations | N/A | Paper |
| Numerical method for nonlinear Kolmogorov PDEs via sensitivity analysis | N/A | Paper |
| Full error analysis of the random deep splitting method for nonlinear parabolic PDEs and PIDEs with infinite activity | N/A | Paper |
| Non-asymptotic estimates for accelerated high order Langevin Monte Carlo algorithms | N/A | Paper |
