Thomas Kruse

Available identifiers

zbMath Open kruse.thomasMaRDI QIDQ289525

List of research outcomes

Publication	Date of Publication	Type
Deep neural networks with ReLU, leaky ReLU, and softplus activation provably overcome the curse of dimensionality for Kolmogorov partial differential equations with Lipschitz nonlinearities in the $L^p$-sense	2023-09-24	Paper
Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations	2023-04-03	Paper
Nonlinear Monte Carlo methods with polynomial runtime for Bellman equations of discrete time high-dimensional stochastic optimal control problems	2023-03-03	Paper
On the speed of convergence of Picard iterations of backward stochastic differential equations	2022-08-22	Paper
Overcoming the curse of dimensionality in the numerical approximation of parabolic partial differential equations with gradient-dependent nonlinearities	2022-08-05	Paper
Inhomogeneous affine Volterra processes	2022-06-20	Paper
Properties of the EMCEL scheme for approximating irregular diffusions	2022-01-21	Paper
Multilevel Picard iterations for solving smooth semilinear parabolic heat equations	2022-01-03	Paper
Self-exciting price impact via negative resilience in stochastic order books	2021-12-07	Paper
Multilevel Picard approximations for McKean-Vlasov stochastic differential equations	2021-11-17	Paper
Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models	2021-11-02	Paper
Overcoming the curse of dimensionality in the numerical approximation of semilinear parabolic partial differential equations	2021-10-29	Paper
Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters	2021-09-08	Paper
Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations	2021-08-24	Paper
A functional limit theorem for coin tossing Markov chains	2021-06-03	Paper
Overcoming the curse of dimensionality in the numerical approximation of Allen-Cahn partial differential equations via truncated full-history recursive multilevel Picard approximations	2021-05-12	Paper
A proof that rectified deep neural networks overcome the curse of dimensionality in the numerical approximation of semilinear heat equations	2020-12-16	Paper
Wasserstein convergence rates for random bit approximations of continuous Markov processes	2020-10-28	Paper
Technical Note—The Joint Impact ofF-Divergences and Reference Models on the Contents of Uncertainty Sets	2020-10-20	Paper
Nonlinear Monte Carlo methods with polynomial runtime for high-dimensional iterated nested expectations	2020-09-29	Paper
Multilevel Picard approximations for high-dimensional semilinear second-order PDEs with Lipschitz nonlinearities	2020-09-05	Paper
Optimal position targeting via decoupling fields	2020-08-17	Paper
Approximating exit times of continuous Markov processes	2020-08-03	Paper
Optimal stopping with private information	2020-03-12	Paper
Stopping with expectation constraints: 3 points suffice	2019-08-06	Paper
On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations	2019-07-26	Paper
Backward stochastic differential equations with non-Markovian singular terminal values	2019-06-25	Paper
A verification theorem for optimal stopping problems with expectation constraints	2019-03-27	Paper
Erratum to: ``A verification theorem for optimal stopping problems with expectation constraints	2019-03-27	Paper
Lp-solution for BSDEs with jumps in the casep<2	2018-09-04	Paper
Multi-level Picard approximations of high-dimensional semilinear parabolic differential equations with gradient-dependent nonlinearities	2017-11-03	Paper
A functional limit theorem for irregular SDEs	2017-09-15	Paper
WLLN for arrays of nonnegative random variables	2017-01-16	Paper
Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting	2016-08-08	Paper
Numerical approximation of irregular SDEs via Skorokhod embeddings	2016-05-30	Paper
BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration	2016-05-04	Paper
Optimal stopping with private information	2015-12-22	Paper
Optimal position targeting with stochastic linear-quadratic costs	2015-04-08	Paper
BSDEs with Singular Terminal Condition and a Control Problem with Constraints	2014-07-30	Paper
Optimal trade execution under price-sensitive risk preferences	2014-02-20	Paper
Hedging Forward Positions: Basis Risk Versus Liquidity Costs	2014-01-23	Paper

Research outcomes over time

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