Wolfgang Stockinger
Orcid: 0000-0002-5305-7786
According to our database1,
Wolfgang Stockinger authored at least 16 papers
between 2020 and 2025.
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Bibliography
2025
CoRR, September, 2025
Leveraging Deep Learning Optimization for Monte Carlo Calibration of (Rough) Stochastic Volatility Models.
Proceedings of the 6th ACM International Conference on AI in Finance, 2025
2024
A Fast Iterative PDE-Based Algorithm for Feedback Controls of Nonsmooth Mean-Field Control Problems.
SIAM J. Sci. Comput., 2024
Improved weak convergence for the long time simulation of Mean-field Langevin equations.
CoRR, 2024
2023
Linear Convergence of a Policy Gradient Method for Some Finite Horizon Continuous Time Control Problems.
SIAM J. Control. Optim., December, 2023
Wellposedness, exponential ergodicity and numerical approximation of fully super-linear McKean-Vlasov SDEs and associated particle systems.
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
Linear convergence of a policy gradient method for finite horizon continuous time stochastic control problems.
CoRR, 2022
2020
Discret. Math., 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