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Simulation of conditional expectations under fast mean-reverting stochastic volatility models
In this short paper, we study the simulation of a large system of stocha...
12/17/2020 ∙ by Andrei Cozma, et al. ∙
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Well-posedness and tamed Euler schemes for McKean-Vlasov equations driven by Lévy noise
We prove the well-posedness of solutions to McKean-Vlasov stochastic dif...
10/16/2020 ∙ by Neelima, et al. ∙
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Convergence of a time-stepping scheme to the free boundary in the supercooled Stefan problem
The supercooled Stefan problem and its variants describe the freezing of...
10/11/2020 ∙ by Vadim Kaushansky, et al. ∙
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Regularity and time discretization of extended mean field control problems: a McKean-Vlasov FBSDE approach
We analyze the solution regularity and discrete-time approximations of e...
09/17/2020 ∙ by Christoph Reisinger, et al. ∙
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A posteriori error estimates for fully coupled McKean-Vlasov forward-backward SDEs
Fully coupled McKean-Vlasov forward-backward stochastic differential equ...
07/15/2020 ∙ by Christoph Reisinger, et al. ∙
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Well-posedness and numerical schemes for McKean-Vlasov equations and interacting particle systems with discontinuous drift
In this paper, we first establish well-posedness results of McKean-Vlaso...
06/26/2020 ∙ by Gunther Leobacher, et al. ∙
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Understanding Deep Architectures with Reasoning Layer
Recently, there has been a surge of interest in combining deep learning ...
06/24/2020 ∙ by Xinshi Chen, et al. ∙
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Well-posedness and tamed schemes for McKean-Vlasov Equations with Common Noise
In this paper, we first establish well-posedness of McKean-Vlasov stocha...
05/31/2020 ∙ by Chaman Kumar, et al. ∙
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An adaptive Euler-Maruyama scheme for McKean SDEs with super-linear growth and application to the mean-field FitzHugh-Nagumo model
In this paper, we introduce a fully implementable, adaptive Euler-Maruya...
05/12/2020 ∙ by Christoph Reisinger, et al. ∙
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Milstein schemes for delay McKean equations and interacting particle systems
In this paper, we derive fully implementable first order time-stepping s...
05/03/2020 ∙ by Jianhai Bao, et al. ∙
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First order convergence of Milstein schemes for McKean equations and interacting particle systems
In this paper, we derive fully implementable first order time-stepping s...
04/07/2020 ∙ by Jianhai Bao, et al. ∙
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Regularity and stability of feedback relaxed controls
This paper proposes a relaxed control regularization with general explor...
01/09/2020 ∙ by Christoph Reisinger, et al. ∙
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A neural network based policy iteration algorithm with global H^2-superlinear convergence for stochastic games on domains
In this work, we propose a class of numerical schemes for solving semili...
06/05/2019 ∙ by Kazufumi Ito, et al. ∙
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Rectified deep neural networks overcome the curse of dimensionality for nonsmooth value functions in zero-sum games of nonlinear stiff systems
In this paper, we establish that for a wide class of controlled stochast...
03/15/2019 ∙ by Christoph Reisinger, et al. ∙
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A numerical scheme for the quantile hedging problem
We consider the numerical approximation of the quantile hedging price in...
02/28/2019 ∙ by Cyril Bénézet, et al. ∙
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