| Publication | Date of Publication | Type |
|---|
| Simulation of Conditional Expectations Under Fast Mean-Reverting Stochastic Volatility Models | 2024-02-14 | Paper |
| Linear Convergence of a Policy Gradient Method for Some Finite Horizon Continuous Time Control Problems | 2024-01-02 | Paper |
| Arbitrage-Free Neural-SDE Market Models | 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 | 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 | 2023-06-05 | Paper |
| Deep xVA Solver: A Neural Network–Based Counterparty Credit Risk Management Framework | 2023-06-01 | Paper |
| Well-posedness and numerical schemes for one-dimensional McKean-Vlasov equations and interacting particle systems with discontinuous drift | 2022-11-22 | Paper |
| Analysis of sparse grid multilevel estimators for multi-dimensional Zakai equations | 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 | 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 | 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 | 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 | 2021-07-16 | Paper |
| Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations and jumps | 2021-07-15 | Paper |
| Stability and convergence of second order backward differentiation schemes for parabolic Hamilton-Jacobi-Bellman equations | 2021-07-06 | Paper |
| Detecting and Repairing Arbitrage in Traded Option Prices | 2021-06-21 | Paper |
| A neural network-based policy iteration algorithm with global \(H^2\)-superlinear convergence for stochastic games on domains | 2021-06-08 | Paper |
| A penalty scheme and policy iteration for nonlocal HJB variational inequalities with monotone nonlinearities | 2021-05-27 | Paper |
| Strong order 1/2 convergence of full truncation Euler approximations to the Cox–Ingersoll–Ross process | 2021-03-31 | Paper |
| A Numerical Scheme for the Quantile Hedging Problem | 2021-03-11 | Paper |
| The non-locality of Markov chain approximations to two-dimensional diffusions | 2021-03-01 | Paper |
| Executive Stock Option Exercise with Full and Partial Information on a Drift Change Point | 2021-01-15 | Paper |
| Duality-based a posteriori error estimates for some approximation schemes for optimal investment problems | 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 | 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 | 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 | 2020-03-24 | Paper |
| Error Estimates of Penalty Schemes for Quasi-Variational Inequalities Arising from Impulse Control Problems | 2020-01-22 | Paper |
| Stability and error analysis of an implicit Milstein finite difference scheme for a two-dimensional Zakai SPDE | 2019-11-27 | Paper |
| Improved order 1/4 convergence for piecewise constant policy approximation of stochastic control problems | 2019-09-19 | Paper |
| A Penalty Scheme for Monotone Systems with Interconnected Obstacles: Convergence and Error Estimates | 2019-09-02 | Paper |
| Simulation of a simple particle system interacting through hitting times | 2019-08-28 | Paper |
| Transition Probability of Brownian Motion in the Octant and its Application to Default Modelling | 2019-05-15 | Paper |
| Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model with a Control Variate Particle Method | 2019-05-14 | Paper |
| Efficient exposure computation by risk factor decomposition | 2019-02-06 | Paper |
| Strong Convergence Rates for Euler Approximations to a Class of Stochastic Path-Dependent Volatility Models | 2018-12-19 | Paper |
| 8. Boundary Mesh Refinement For Semi-Lagrangian Schemes | 2018-11-23 | Paper |
| Analysis of Multi-Index Monte Carlo Estimators for a Zakai SPDE | 2018-10-22 | Paper |
| High-order filtered schemes for time-dependent second order HJB equations | 2018-08-10 | Paper |
| Simulation of particle systems interacting through hitting times | 2018-05-29 | Paper |
| A penalty scheme and policy iteration for nonlocal HJB variational inequalities with monotone drivers | 2018-05-16 | Paper |
| Convergence of an Euler Scheme for a Hybrid Stochastic-Local Volatility Model with Stochastic Rates in Foreign Exchange Markets | 2018-04-16 | Paper |
| Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations and jumps | 2018-03-10 | Paper |
| Error analysis of truncated expansion solutions to high-dimensional parabolic PDEs | 2018-02-02 | Paper |
| Boundary treatment and multigrid preconditioning for semi-Lagrangian schemes applied to Hamilton-Jacobi-Bellman equations | 2017-08-22 | Paper |
| A Partial Fourier Transform Method for a Class of Hypoelliptic Kolmogorov Equations | 2017-07-27 | Paper |
| Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process | 2016-12-21 | Paper |
| Piecewise constant policy approximations to Hamilton-Jacobi-Bellman equations | 2016-03-09 | Paper |
| Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives | 2015-09-23 | Paper |
| The impact of a natural time change on the convergence of the Crank-Nicolson scheme | 2014-08-06 | Paper |
| The Effect of Nonsmooth Payoffs on the Penalty Approximation of American Options | 2014-01-23 | Paper |
| Analysis of linear difference schemes in the sparse grid combination technique | 2013-05-16 | Paper |
| On the Use of Policy Iteration as an Easy Way of Pricing American Options | 2013-01-25 | Paper |
| Stochastic Finite Differences and Multilevel Monte Carlo for a Class of SPDEs in Finance | 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 | 2013-01-18 | Paper |
| Penalty Methods for the Solution of Discrete HJB Equations—Continuous Control and Obstacle Problems | 2012-08-23 | Paper |
| A Penalty Method for the Numerical Solution of Hamilton–Jacobi–Bellman (HJB) Equations in Finance | 2011-09-14 | Paper |
| Modelling bonds and credit default swaps using a structural model with contagion | 2009-02-23 | Paper |
| Efficient Hierarchical Approximation of High‐Dimensional Option Pricing Problems | 2008-02-25 | Paper |
| On multigrid for anisotropic equations and variational inequalities ``pricing multi-dimensional European and American options | 2005-06-14 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3159350 | 2005-02-15 | Paper |
