The following pages link to Christoph Reisinger (Q727910):
Displaying 50 items.
- (Q256113) (redirect page) (← links)
- Piecewise constant policy approximations to Hamilton-Jacobi-Bellman equations (Q256114) (← links)
- Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives (Q496948) (← links)
- Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process (Q727912) (← links)
- On multigrid for anisotropic equations and variational inequalities ``pricing multi-dimensional European and American options'' (Q1780893) (← links)
- The non-locality of Markov chain approximations to two-dimensional diffusions (Q1996948) (← links)
- Stability and error analysis of an implicit Milstein finite difference scheme for a two-dimensional Zakai SPDE (Q2009114) (← links)
- A penalty scheme and policy iteration for nonlocal HJB variational inequalities with monotone nonlinearities (Q2027590) (← links)
- A neural network-based policy iteration algorithm with global \(H^2\)-superlinear convergence for stochastic games on domains (Q2031059) (← links)
- Stability and convergence of second order backward differentiation schemes for parabolic Hamilton-Jacobi-Bellman equations (Q2038422) (← links)
- Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations and jumps (Q2041006) (← links)
- Analysis of sparse grid multilevel estimators for multi-dimensional Zakai equations (Q2091299) (← links)
- Well-posedness and numerical schemes for one-dimensional McKean-Vlasov equations and interacting particle systems with discontinuous drift (Q2100548) (← links)
- Probabilistic error analysis for some approximation schemes to optimal control problems (Q2173064) (← links)
- Duality-based a posteriori error estimates for some approximation schemes for optimal investment problems (Q2212323) (← links)
- An adaptive Euler-Maruyama scheme for Mckean-Vlasov SDEs with super-linear growth and application to the mean-field Fitzhugh-Nagumo model (Q2229921) (← links)
- Improved order 1/4 convergence for piecewise constant policy approximation of stochastic control problems (Q2274122) (← links)
- Some regularity and convergence results for parabolic Hamilton-Jacobi-Bellman equations in bounded domains (Q2306692) (← links)
- Simulation of a simple particle system interacting through hitting times (Q2321051) (← links)
- Boundary treatment and multigrid preconditioning for semi-Lagrangian schemes applied to Hamilton-Jacobi-Bellman equations (Q2399158) (← links)
- The Effect of Nonsmooth Payoffs on the Penalty Approximation of American Options (Q2873140) (← links)
- Penalty Methods for the Solution of Discrete HJB Equations—Continuous Control and Obstacle Problems (Q2903003) (← links)
- A Penalty Method for the Numerical Solution of Hamilton–Jacobi–Bellman (HJB) Equations in Finance (Q3091798) (← links)
- Error analysis of truncated expansion solutions to high-dimensional parabolic PDEs (Q3133570) (← links)
- (Q3159350) (← links)
- Regularity and Stability of Feedback Relaxed Controls (Q3382776) (← links)
- Modelling bonds and credit default swaps using a structural model with contagion (Q3605227) (← links)
- 8. Boundary Mesh Refinement For Semi-Lagrangian Schemes (Q4557480) (← links)
- Strong Convergence Rates for Euler Approximations to a Class of Stochastic Path-Dependent Volatility Models (Q4562237) (← links)
- High-order filtered schemes for time-dependent second order HJB equations (Q4579916) (← links)
- Efficient exposure computation by risk factor decomposition (Q4619510) (← links)
- Convergence of an Euler Scheme for a Hybrid Stochastic-Local Volatility Model with Stochastic Rates in Foreign Exchange Markets (Q4635245) (← links)
- Analysis of Multi-Index Monte Carlo Estimators for a Zakai SPDE (Q4688171) (← links)
- On the Use of Policy Iteration as an Easy Way of Pricing American Options (Q4902222) (← links)
- Stochastic Finite Differences and Multilevel Monte Carlo for a Class of SPDEs in Finance (Q4902226) (← links)
- Mean-square stability and error analysis of implicit time-stepping schemes for linear parabolic SPDEs with multiplicative Wiener noise in the first derivative (Q4902865) (← links)
- Analysis of linear difference schemes in the sparse grid combination technique (Q4920237) (← links)
- A Partial Fourier Transform Method for a Class of Hypoelliptic Kolmogorov Equations (Q4976114) (← links)
- Detecting and Repairing Arbitrage in Traded Option Prices (Q4994674) (← links)
- A forward equation for barrier options under the Brunick & Shreve Markovian projection (Q5001174) (← links)
- Semi-analytical solution of a McKean–Vlasov equation with feedback through hitting a boundary (Q5015424) (← links)
- Rectified deep neural networks overcome the curse of dimensionality for nonsmooth value functions in zero-sum games of nonlinear stiff systems (Q5132232) (← links)
- Executive Stock Option Exercise with Full and Partial Information on a Drift Change Point (Q5144184) (← links)
- Error Estimates of Penalty Schemes for Quasi-Variational Inequalities Arising from Impulse Control Problems (Q5210849) (← links)
- A Penalty Scheme for Monotone Systems with Interconnected Obstacles: Convergence and Error Estimates (Q5232300) (← links)
- Efficient Hierarchical Approximation of High‐Dimensional Option Pricing Problems (Q5444261) (← links)
- The impact of a natural time change on the convergence of the Crank-Nicolson scheme (Q5495667) (← links)
- Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model with a Control Variate Particle Method (Q5742499) (← links)
- Transition Probability of Brownian Motion in the Octant and its Application to Default Modelling (Q5742504) (← links)
- A Numerical Scheme for the Quantile Hedging Problem (Q5853613) (← links)
