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Christoph Reisinger

Identifiers

  • name variant Christoph Reisinger 0.60 · backfill

Papers (39)

  1. Uniform Scaling Limits in AdamW-Trained Transformers stat.ML · 2026 · author #2
  2. Analysis of sparse grid multilevel estimators for multi-dimensional Zakai equations math.NA · 2019 · author #1
  3. Improved order 1/4 convergence for piecewise constant policy approximation of stochastic control problems math.PR · 2019 · author #3
  4. Semi-analytical solution of a McKean-Vlasov equation with feedback through hitting a boundary math.NA · 2018 · author #3
  5. A penalty scheme for monotone systems with interconnected obstacles: convergence and error estimates math.NA · 2018 · author #1
  6. Simulation of particle systems interacting through hitting times math.NA · 2018 · author #2
  7. A penalty scheme and policy iteration for nonlocal HJB variational inequalities with monotone drivers math.NA · 2018 · author #1
  8. Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations and jumps math.NA · 2018 · author #2
  9. Stability and error analysis of an implicit Milstein finite difference scheme for a two-dimensional Zakai SPDE math.NA · 2018 · author #1
  10. Stability and convergence of second order backward differentiation schemes for parabolic Hamilton-Jacobi-Bellman equations math.NA · 2018 · author #3
  11. Transition probability of Brownian motion in the octant and its application to default modeling q-fin.CP · 2017 · author #3
  12. Some regularity and convergence results for parabolic Hamilton-Jacobi-Bellman equations in bounded domains math.NA · 2017 · author #2
  13. Strong convergence rates for Euler approximations to a class of stochastic path-dependent volatility models q-fin.CP · 2017 · author #2
  14. Strong order 1/2 convergence of full truncation Euler approximations to the Cox-Ingersoll-Ross process q-fin.CP · 2017 · author #2
  15. Numerical analysis of an extended structural default model with mutual liabilities and jump risk q-fin.CP · 2016 · author #3
  16. Analysis of Multi-Index Monte Carlo Estimators for a Zakai SPDE math.NA · 2016 · author #2
  17. High-order filtered schemes for time-dependent second order HJB equations math.NA · 2016 · author #3
  18. Efficient exposure computation by risk factor decomposition q-fin.CP · 2016 · author #3
  19. The non-locality of Markov chain approximations to two-dimensional diffusions math.PR · 2016 · author #1
  20. Boundary Treatment and Multigrid Preconditioning for Semi-Lagrangian Schemes Applied to Hamilton-Jacobi-Bellman Equations math.NA · 2016 · author #1
  21. A partial Fourier transform method for a class of hypoelliptic Kolmogorov equations math.NA · 2016 · author #1
  22. Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process q-fin.CP · 2015 · author #2
  23. A mixed Monte Carlo and PDE variance reduction method for foreign exchange options under the Heston-CIR model q-fin.CP · 2015 · author #2
  24. Error analysis of truncated expansion solutions to high-dimensional parabolic PDEs math.AP · 2015 · author #1
  25. Piecewise Constant Policy Approximations to Hamilton-Jacobi-Bellman Equations math.NA · 2015 · author #1
  26. Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets q-fin.CP · 2015 · author #3
  27. Modelling of dependence in high-dimensional financial time series by cluster-derived canonical vines q-fin.ST · 2014 · author #3
  28. A Forward Equation for Barrier Options under the Brunick&Shreve Markovian Projection q-fin.MF · 2014 · author #3
  29. Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives math.NA · 2012 · author #3
  30. Numerical Valuation of Derivatives in High-Dimensional Settings via PDE Expansions q-fin.CP · 2012 · author #1
  31. Mean-square stability and error analysis of implicit time-stepping schemes for linear parabolic SPDEs with multiplicative Wiener noise in the first derivative math.NA · 2012 · author #1
  32. Stochastic finite differences and multilevel Monte Carlo for a class of SPDEs in finance math.NA · 2012 · author #2
  33. Penalty Methods for the Solution of Discrete HJB Equations -- Continuous Control and Obstacle Problems q-fin.CP · 2011 · author #2
  34. Stochastic evolution equations in portfolio credit modelling with applications to exotic credit products q-fin.PR · 2011 · author #5
  35. On the Use of Policy Iteration as an Easy Way of Pricing American Options q-fin.CP · 2010 · author #1
  36. The Effect of Non-Smooth Payoffs on the Penalty Approximation of American Options q-fin.CP · 2010 · author #2
  37. A Penalty Method for the Numerical Solution of Hamilton-Jacobi-Bellman (HJB) Equations in Finance q-fin.CP · 2010 · author #2
  38. Modelling Bonds & Credit Default Swaps using a Structural Model with Contagion q-fin.PR · 2007 · author #2
  39. Analysis of Linear Difference Schemes in the Sparse Grid Combination Technique math.NA · 2007 · author #1

Mentions

  • 1012.4976 #1 · backfill · confidence 0.70 Christoph Reisinger
  • 1008.0836 #2 · backfill · confidence 0.70 Christoph Reisinger
  • 1008.0401 #2 · backfill · confidence 0.70 Christoph Reisinger
  • 0710.0753 #2 · backfill · confidence 0.70 Christoph Reisinger
  • 0710.0491 #1 · backfill · confidence 0.70 Christoph Reisinger

Frequent Coauthors