Christoph Reisinger
- Well-posedness and tamed schemes for McKean-Vlasov Equations with Common\n Noise
2020/05/31 by Chaman Kumar, Neelima Neelima, Kumar, Chaman +5 · 7 citations
Economics, Econometrics and Finance · Social Sciences · #Stochastic processes and financial applications #Financial Markets and Investment Strategies #Insurance, Mortality, Demography, Risk Management
- An adaptive Euler-Maruyama scheme for McKean-Vlasov SDEs with\n super-linear growth and application to the mean-field FitzHugh-Nagumo model
2020/05/12 by Christoph Reisinger, Wolfgang Stockinger, Reisinger, Christoph +1 · 5 citations
Economics, Econometrics and Finance · Physics and Astronomy · Social Sciences · #Advanced Thermodynamics and Statistical Mechanics #FOS: Mathematics #Insurance, Mortality, Demography, Risk Management #Numerical Analysis (math.NA) #Probability (math.PR) #Stochastic processes and financial applications
- Milstein schemes and antithetic multilevel Monte Carlo sampling for delay McKean-Vlasov equations and interacting particle systems
2020/05/03 by Jianhai Bao, Christoph Reisinger, Bao, Jianhai +5 · 3 citations
Economics, Econometrics and Finance · Mathematics · #60H30 #65C20 #65C30 #65C35 #FOS: Mathematics #Gas Dynamics and Kinetic Theory #Markov Chains and Monte Carlo Methods #Numerical Analysis (math.NA) #Probability (math.PR) #Stochastic processes and financial applications
- Multilevel simulation of functionals of Bernoulli random variables with\n application to basket credit derivatives
2012/11/04 by Karolina Bujok, Ben Hambly, Bujok, Karolina +3 · 1 citation
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #Numerical Analysis (math.NA) #Probability (math.PR) #Probability and Risk Models #Stochastic processes and financial applications #Stochastic processes and statistical mechanics
- A penalty scheme and policy iteration for nonlocal HJB variational inequalities with monotone drivers
2018/05/16 by Christoph Reisinger, Reisinger, Christoph, Yufei Zhang +1 · 1 citation
Economics, Econometrics and Finance · Decision Sciences · Computer Science · #Stochastic processes and financial applications #Risk and Portfolio Optimization #Optimization and Variational Analysis
- An explicit Milstein-type scheme for interacting particle systems and McKean--Vlasov SDEs with common noise and non-differentiable drift coefficients
2022/08/22 by Sani Biswas, Chaman Kumar, Biswas, Sani +7 · 2 citations
Economics, Econometrics and Finance · Engineering · Mathematics · #60H35 #65C05 #65C30 #65C35 #FOS: Mathematics #Fluid Dynamics and Turbulent Flows #Numerical Analysis (math.NA) #Probability (math.PR) #Statistical Methods and Bayesian Inference #Stochastic processes and financial applications
- Improved order 1/4 convergence for piecewise constant policy\n approximation of stochastic control problems
2019/01/04 by Espen R. Jakobsen, Jakobsen, Espen R., Athena Picarelli +3 · 1 citation
Economics, Econometrics and Finance · #Climate Change Policy and Economics #FOS: Mathematics #Monetary Policy and Economic Impact #Probability (math.PR) #Stochastic processes and financial applications
- Deep xVA solver -- A neural network based counterparty credit risk\n management framework
2020/05/06 by Alessandro Gnoatto, Athena Picarelli, Gnoatto, Alessandro +3 · 1 citation
Economics, Econometrics and Finance · Engineering · #Stochastic processes and financial applications #Credit Risk and Financial Regulations #Reservoir Engineering and Simulation Methods
- Estimating risks of option books using neural-SDE market models
2022/02/15 by Samuel N. Cohen, Cohen, Samuel N., Christoph Reisinger +3 · 1 citation
Economics, Econometrics and Finance · Engineering · #62M45 #62P05 #91B28 #91B70 #Computational Finance (q-fin.CP) #FOS: Computer and information sciences #FOS: Economics and business #FOS: Mathematics #Machine Learning (stat.ML) #Probability (math.PR) #Reservoir Engineering and Simulation Methods #Risk Management (q-fin.RM) #Statistical Finance (q-fin.ST) #Stochastic processes and financial applications