Christoph Reisinger
Orcid: 0000-0003-4027-5298
According to our database1,
Christoph Reisinger
authored at least 48 papers
between 2007 and 2024.
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Bibliography
2024
Correction to: Optimal bailout strategies resulting from the drift controlled supercooled Stefan problem.
Ann. Oper. Res., January, 2024
2023
Linear Convergence of a Policy Gradient Method for Some Finite Horizon Continuous Time Control Problems.
SIAM J. Control. Optim., December, 2023
Deep xVA Solver: A Neural Network-Based Counterparty Credit Risk Management Framework.
SIAM J. Financial Math., March, 2023
CoRR, 2023
2022
An adaptive Euler-Maruyama scheme for McKean-Vlasov SDEs with super-linear growth and application to the mean-field FitzHugh-Nagumo model.
J. Comput. Appl. Math., 2022
Convergence of policy gradient methods for finite-horizon stochastic linear-quadratic control problems.
CoRR, 2022
An explicit Milstein-type scheme for interacting particle systems and McKean-Vlasov SDEs with common noise and non-differentiable drift coefficients.
CoRR, 2022
Implicit and fully discrete approximation of the supercooled Stefan problem in the presence of blow-ups.
CoRR, 2022
Linear convergence of a policy gradient method for finite horizon continuous time stochastic control problems.
CoRR, 2022
2021
Stability and convergence of second order backward differentiation schemes for parabolic Hamilton-Jacobi-Bellman equations.
Numerische Mathematik, 2021
A Neural Network-Based Policy Iteration Algorithm with Global H<sup>2</sup>-Superlinear Convergence for Stochastic Games on Domains.
Found. Comput. Math., 2021
A penalty scheme and policy iteration for nonlocal HJB variational inequalities with monotone nonlinearities.
Comput. Math. Appl., 2021
2020
Executive Stock Option Exercise with Full and Partial Information on a Drift Change Point.
SIAM J. Financial Math., 2020
Error Estimates of Penalty Schemes for Quasi-Variational Inequalities Arising from Impulse Control Problems.
SIAM J. Control. Optim., 2020
Probabilistic error analysis for some approximation schemes to optimal control problems.
Syst. Control. Lett., 2020
Well-posedness and tamed Euler schemes for McKean-Vlasov equations driven by Lévy noise.
CoRR, 2020
Convergence of a time-stepping scheme to the free boundary in the supercooled Stefan problem.
CoRR, 2020
Regularity and time discretization of extended mean field control problems: a McKean-Vlasov FBSDE approach.
CoRR, 2020
CoRR, 2020
Well-posedness and numerical schemes for McKean-Vlasov equations and interacting particle systems with discontinuous drift.
CoRR, 2020
CoRR, 2020
An adaptive Euler-Maruyama scheme for McKean SDEs with super-linear growth and application to the mean-field FitzHugh-Nagumo model.
CoRR, 2020
CoRR, 2020
First order convergence of Milstein schemes for McKean equations and interacting particle systems.
CoRR, 2020
Duality-based <i>a posteriori</i> error estimates for some approximation schemes for optimal investment problems.
Comput. Math. Appl., 2020
Proceedings of the Advances in Neural Information Processing Systems 33: Annual Conference on Neural Information Processing Systems 2020, 2020
Simulation of Conditional Expectations Under Fast Mean-Reverting Stochastic Volatility Models.
Proceedings of the Monte Carlo and Quasi-Monte Carlo Methods, 2020
2019
A Penalty Scheme for Monotone Systems with Interconnected Obstacles: Convergence and Error Estimates.
SIAM J. Numer. Anal., 2019
Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model with a Control Variate Particle Method.
SIAM J. Financial Math., 2019
Rectified deep neural networks overcome the curse of dimensionality for nonsmooth value functions in zero-sum games of nonlinear stiff systems.
CoRR, 2019
2018
Strong Convergence Rates for Euler Approximations to a Class of Stochastic Path-Dependent Volatility Models.
SIAM J. Numer. Anal., 2018
Convergence of an Euler Scheme for a Hybrid Stochastic-Local Volatility Model with Stochastic Rates in Foreign Exchange Markets.
SIAM J. Financial Math., 2018
Math. Comput. Simul., 2018
Numerical analysis of an extended structural default model with mutual liabilities and jump risk.
J. Comput. Sci., 2018
2017
SIAM J. Numer. Anal., 2017
Boundary Treatment and Multigrid Preconditioning for Semi-Lagrangian Schemes Applied to Hamilton-Jacobi-Bellman Equations.
J. Sci. Comput., 2017
2013
SIAM J. Financial Math., 2013
2012
Penalty Methods for the Solution of Discrete HJB Equations - Continuous Control and Obstacle Problems.
SIAM J. Numer. Anal., 2012
SIAM J. Financial Math., 2012
Stochastic Finite Differences and Multilevel Monte Carlo for a Class of SPDEs in Finance.
SIAM J. Financial Math., 2012
Mean-square stability and error analysis of implicit time-stepping schemes for linear parabolic SPDEs with multiplicative Wiener noise in the first derivative.
Int. J. Comput. Math., 2012
2011
A Penalty Method for the Numerical Solution of Hamilton-Jacobi-Bellman (HJB) Equations in Finance.
SIAM J. Numer. Anal., 2011
SIAM J. Financial Math., 2011
2007
SIAM J. Sci. Comput., 2007