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Christoph Reisinger

Identifiers

  • name variant Christoph Reisinger 0.60 · backfill

Papers (58)

  1. Numerical Approximation for Path-Dependent McKean-Vlasov Control with Non-Asymptotic Error Estimates math.OC · 2026 · author #4
  2. Uniform Scaling Limits in AdamW-Trained Transformers stat.ML · 2026 · author #2
  3. Arbitrage-free neural-SDE market models q-fin.CP · 2021 · author #2
  4. Simulation of conditional expectations under fast mean-reverting stochastic volatility models math.NA · 2020 · author #2
  5. Path regularity of coupled McKean-Vlasov FBSDEs math.PR · 2020 · author #1
  6. Well-posedness and tamed Euler schemes for McKean-Vlasov equations driven by L\'evy noise math.PR · 2020 · author #5
  7. Optimal regularity of extended mean field controls and their piecewise constant approximation math.OC · 2020 · author #1
  8. Detecting and repairing arbitrage in traded option prices q-fin.PR · 2020 · author #2
  9. Understanding Deep Architectures with Reasoning Layer cs.LG · 2020 · author #3
  10. Well-posedness and tamed schemes for McKean-Vlasov Equations with Common Noise math.PR · 2020 · author #3
  11. An adaptive Euler-Maruyama scheme for McKean-Vlasov SDEs with super-linear growth and application to the mean-field FitzHugh-Nagumo model math.NA · 2020 · author #1
  12. First order convergence of Milstein schemes for McKean-Vlasov equations and interacting particle systems math.PR · 2020 · author #2
  13. Regularity and stability of feedback relaxed controls math.OC · 2020 · author #1
  14. Duality-based a posteriori error estimates for some approximation schemes for optimal investment problems math.OC · 2020 · author #2
  15. A neural network based policy iteration algorithm with global $H^2$-superlinear convergence for stochastic games on domains math.NA · 2019 · author #2
  16. Analysis of sparse grid multilevel estimators for multi-dimensional Zakai equations math.NA · 2019 · author #1
  17. Rectified deep neural networks overcome the curse of dimensionality for nonsmooth value functions in zero-sum games of nonlinear stiff systems math.NA · 2019 · author #1
  18. A numerical scheme for the quantile hedging problem q-fin.CP · 2019 · author #3
  19. Error estimates of penalty schemes for quasi-variational inequalities arising from impulse control problems math.OC · 2019 · author #1
  20. Improved order 1/4 convergence for piecewise constant policy approximation of stochastic control problems math.PR · 2019 · author #3
  21. Probabilistic error analysis for some approximation schemes to optimal control problems math.OC · 2018 · author #2
  22. Semi-analytical solution of a McKean-Vlasov equation with feedback through hitting a boundary math.NA · 2018 · author #3
  23. A penalty scheme for monotone systems with interconnected obstacles: convergence and error estimates math.NA · 2018 · author #1
  24. Simulation of particle systems interacting through hitting times math.NA · 2018 · author #2
  25. A penalty scheme and policy iteration for nonlocal HJB variational inequalities with monotone drivers math.NA · 2018 · author #1
  26. Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations and jumps math.NA · 2018 · author #2
  27. Stability and error analysis of an implicit Milstein finite difference scheme for a two-dimensional Zakai SPDE math.NA · 2018 · author #1
  28. Stability and convergence of second order backward differentiation schemes for parabolic Hamilton-Jacobi-Bellman equations math.NA · 2018 · author #3
  29. Transition probability of Brownian motion in the octant and its application to default modeling q-fin.CP · 2017 · author #3
  30. Some regularity and convergence results for parabolic Hamilton-Jacobi-Bellman equations in bounded domains math.NA · 2017 · author #2
  31. Executive stock option exercise with full and partial information on a drift change point q-fin.MF · 2017 · author #4
  32. Strong convergence rates for Euler approximations to a class of stochastic path-dependent volatility models q-fin.CP · 2017 · author #2
  33. Strong order 1/2 convergence of full truncation Euler approximations to the Cox-Ingersoll-Ross process q-fin.CP · 2017 · author #2
  34. Numerical analysis of an extended structural default model with mutual liabilities and jump risk q-fin.CP · 2016 · author #3
  35. Analysis of Multi-Index Monte Carlo Estimators for a Zakai SPDE math.NA · 2016 · author #2
  36. High-order filtered schemes for time-dependent second order HJB equations math.NA · 2016 · author #3
  37. Efficient exposure computation by risk factor decomposition q-fin.CP · 2016 · author #3
  38. The non-locality of Markov chain approximations to two-dimensional diffusions math.PR · 2016 · author #1
  39. Boundary Treatment and Multigrid Preconditioning for Semi-Lagrangian Schemes Applied to Hamilton-Jacobi-Bellman Equations math.NA · 2016 · author #1
  40. A partial Fourier transform method for a class of hypoelliptic Kolmogorov equations math.NA · 2016 · author #1
  41. Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process q-fin.CP · 2015 · author #2
  42. A mixed Monte Carlo and PDE variance reduction method for foreign exchange options under the Heston-CIR model q-fin.CP · 2015 · author #2
  43. Error analysis of truncated expansion solutions to high-dimensional parabolic PDEs math.AP · 2015 · author #1
  44. Piecewise Constant Policy Approximations to Hamilton-Jacobi-Bellman Equations math.NA · 2015 · author #1
  45. 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
  46. Modelling of dependence in high-dimensional financial time series by cluster-derived canonical vines q-fin.ST · 2014 · author #3
  47. A Forward Equation for Barrier Options under the Brunick&Shreve Markovian Projection q-fin.MF · 2014 · author #3
  48. Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives math.NA · 2012 · author #3
  49. Numerical Valuation of Derivatives in High-Dimensional Settings via PDE Expansions q-fin.CP · 2012 · author #1
  50. 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
  51. Stochastic finite differences and multilevel Monte Carlo for a class of SPDEs in finance math.NA · 2012 · author #2
  52. Penalty Methods for the Solution of Discrete HJB Equations -- Continuous Control and Obstacle Problems q-fin.CP · 2011 · author #2
  53. Stochastic evolution equations in portfolio credit modelling with applications to exotic credit products q-fin.PR · 2011 · author #5
  54. On the Use of Policy Iteration as an Easy Way of Pricing American Options q-fin.CP · 2010 · author #1
  55. The Effect of Non-Smooth Payoffs on the Penalty Approximation of American Options q-fin.CP · 2010 · author #2
  56. A Penalty Method for the Numerical Solution of Hamilton-Jacobi-Bellman (HJB) Equations in Finance q-fin.CP · 2010 · author #2
  57. Modelling Bonds & Credit Default Swaps using a Structural Model with Contagion q-fin.PR · 2007 · author #2
  58. Analysis of Linear Difference Schemes in the Sparse Grid Combination Technique math.NA · 2007 · author #1

Mentions

  • 2005.06034 #1 · arxiv_oai · confidence 0.70 Christoph Reisinger
  • 2012.09726 #2 · arxiv_oai · confidence 0.70 Christoph Reisinger
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  • 2010.08585 #5 · arxiv_oai · confidence 0.70 Christoph Reisinger
  • 1709.10141 #4 · arxiv_oai · confidence 0.70 Christoph Reisinger
  • 2006.00463 #3 · arxiv_oai · confidence 0.70 Christoph Reisinger
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  • 1605.06348 #1 · arxiv_oai · confidence 0.70 Christoph Reisinger
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Frequent Coauthors