Christoph Reisinger

64 papers A* 1Journal 62Unranked 1

Year	Rank	Type	Title / Venue / Authors
2026	J	`jnl`	A higher order sparse grid combination technique. CoRR Julia Muñoz-Echániz, Christoph Reisinger
2026	J	`jnl`	Model-free policy gradient for discrete-time mean-field control. CoRR Matthieu Meunier, Huyên Pham, Christoph Reisinger
2025	J	`jnl`	Asymptotic Expansions of Evolution Equations with Fast Volatility. Multiscale Model. Simul. Sam D. Howison, Christoph Reisinger, Ronnie Sircar, Zhenru Wang
2025	J	`jnl`	Convergence Rates of Time Discretization in Extended Mean Field Control. CoRR Christoph Reisinger, Wolfgang Stockinger, Maria Olympia Tsianni, Yufei Zhang
2025	J	`jnl`	Efficient Learning for Entropy-Regularized Markov Decision Processes via Multilevel Monte Carlo. CoRR Matthieu Meunier, Christoph Reisinger, Yufei Zhang
2025	J	`jnl`	Markov Decision Processes with Observation Costs: Framework and Computation with a Penalty Scheme. Math. Oper. Res. Christoph Reisinger, Jonathan Tam
2025	J	`jnl`	Numerical analysis of a particle system for the calibrated Heston-type local stochastic volatility model. CoRR Christoph Reisinger, Maria Olympia Tsianni
2025	J	`jnl`	Weighted Conditional Flow Matching. CoRR Sergio Calvo-Ordoñez, Matthieu Meunier, Álvaro Cartea, Christoph Reisinger, Yarin Gal, José Miguel Hernández-Lobato
2024	J	`jnl`	A Fast Iterative PDE-Based Algorithm for Feedback Controls of Nonsmooth Mean-Field Control Problems. SIAM J. Sci. Comput. Christoph Reisinger, Wolfgang Stockinger, Yufei Zhang
2024	J	`jnl`	Convergence of Policy Gradient Methods for Finite-Horizon Exploratory Linear-Quadratic Control Problems. SIAM J. Control. Optim. Michael Giegrich, Christoph Reisinger, Yufei Zhang
2024	J	`jnl`	Correction to: Optimal bailout strategies resulting from the drift controlled supercooled Stefan problem. Ann. Oper. Res. Christa Cuchiero, Christoph Reisinger, Stefan Rigger
2024	J	`jnl`	Implicit and Fully Discrete Approximation of the Supercooled Stefan Problem in the Presence of Blow-Ups. SIAM J. Numer. Anal. Christa Cuchiero, Christoph Reisinger, Stefan Rigger
2024	J	`jnl`	Limit Order Book Simulation and Trade Evaluation with CoRR Michael Giegrich, Roel Oomen, Christoph Reisinger
2024	J	`jnl`	Optimal bailout strategies resulting from the drift controlled supercooled Stefan problem. Ann. Oper. Res. Christa Cuchiero, Christoph Reisinger, Stefan Rigger
2023	J	`jnl`	Deep xVA Solver: A Neural Network-Based Counterparty Credit Risk Management Framework. SIAM J. Financial Math. Alessandro Gnoatto, Athena Picarelli, Christoph Reisinger
2023	J	`jnl`	K-Nearest-Neighbor Resampling for Off-Policy Evaluation in Stochastic Control. CoRR Michael Giegrich, Roel Oomen, Christoph Reisinger
2023	J	`jnl`	Linear Convergence of a Policy Gradient Method for Some Finite Horizon Continuous Time Control Problems. SIAM J. Control. Optim. Christoph Reisinger, Wolfgang Stockinger, Yufei Zhang
2022	J	`jnl`	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. Christoph Reisinger, Wolfgang Stockinger
2022	J	`jnl`	An explicit Milstein-type scheme for interacting particle systems and McKean-Vlasov SDEs with common noise and non-differentiable drift coefficients. CoRR Sani Biswas, Chaman Kumar, Neelima, Gonçalo Dos Reis, Christoph Reisinger
2022	J	`jnl`	Convergence of policy gradient methods for finite-horizon stochastic linear-quadratic control problems. CoRR Michael Giegrich, Christoph Reisinger, Yufei Zhang
2022	J	`jnl`	Implicit and fully discrete approximation of the supercooled Stefan problem in the presence of blow-ups. CoRR Christa Cuchiero, Christoph Reisinger, Stefan Rigger
2022	J	`jnl`	Linear convergence of a policy gradient method for finite horizon continuous time stochastic control problems. CoRR Christoph Reisinger, Wolfgang Stockinger, Yufei Zhang
2022	J	`jnl`	Markov decision processes with observation costs. CoRR Christoph Reisinger, Jonathan Tam
2021	J	`jnl`	A Neural Network-Based Policy Iteration Algorithm with Global H Found. Comput. Math. Kazufumi Ito, Christoph Reisinger, Yufei Zhang
2021	J	`jnl`	A Numerical Scheme for the Quantile Hedging Problem. SIAM J. Financial Math. Cyril Bénézet, Jean-François Chassagneux, Christoph Reisinger
2021	J	`jnl`	A penalty scheme and policy iteration for nonlocal HJB variational inequalities with monotone nonlinearities. Comput. Math. Appl. Christoph Reisinger, Yufei Zhang
2021	J	`jnl`	Regularity and Stability of Feedback Relaxed Controls. SIAM J. Control. Optim. Christoph Reisinger, Yufei Zhang
2021	J	`jnl`	Stability and convergence of second order backward differentiation schemes for parabolic Hamilton-Jacobi-Bellman equations. Numerische Mathematik Olivier Bokanowski, Athena Picarelli, Christoph Reisinger
2020	J	`jnl`	A posteriori error estimates for fully coupled McKean-Vlasov forward-backward SDEs. CoRR Christoph Reisinger, Wolfgang Stockinger, Yufei Zhang
2020	J	`jnl`	An adaptive Euler-Maruyama scheme for McKean SDEs with super-linear growth and application to the mean-field FitzHugh-Nagumo model. CoRR Christoph Reisinger, Wolfgang Stockinger
2020	J	`jnl`	Convergence of a time-stepping scheme to the free boundary in the supercooled Stefan problem. CoRR Vadim Kaushansky, Christoph Reisinger, Mykhaylo Shkolnikov, Zhuo Qun Song
2020	J	`jnl`	Duality-based Comput. Math. Appl. Athena Picarelli, Christoph Reisinger
2020	J	`jnl`	Error Estimates of Penalty Schemes for Quasi-Variational Inequalities Arising from Impulse Control Problems. SIAM J. Control. Optim. Christoph Reisinger, Yufei Zhang
2020	J	`jnl`	Executive Stock Option Exercise with Full and Partial Information on a Drift Change Point. SIAM J. Financial Math. Vicky Henderson, Kamil Kladívko, Michael Monoyios, Christoph Reisinger
2020	J	`jnl`	First order convergence of Milstein schemes for McKean equations and interacting particle systems. CoRR Jianhai Bao, Christoph Reisinger, Panpan Ren, Wolfgang Stockinger
2020	J	`jnl`	Milstein schemes for delay McKean equations and interacting particle systems. CoRR Jianhai Bao, Christoph Reisinger, Panpan Ren, Wolfgang Stockinger
2020	J	`jnl`	Probabilistic error analysis for some approximation schemes to optimal control problems. Syst. Control. Lett. Athena Picarelli, Christoph Reisinger
2020	J	`jnl`	Regularity and stability of feedback relaxed controls. CoRR Christoph Reisinger, Yufei Zhang
2020	J	`jnl`	Regularity and time discretization of extended mean field control problems: a McKean-Vlasov FBSDE approach. CoRR Christoph Reisinger, Wolfgang Stockinger, Yufei Zhang
2020	—	`conf`	Simulation of Conditional Expectations Under Fast Mean-Reverting Stochastic Volatility Models. MCQMC Andrei S. Cozma, Christoph Reisinger
2020	J	`jnl`	Simulation of conditional expectations under fast mean-reverting stochastic volatility models. CoRR Andrei Cozma, Christoph Reisinger
2020	A*	`conf`	Understanding Deep Architecture with Reasoning Layer. NeurIPS Xinshi Chen, Yufei Zhang, Christoph Reisinger, Le Song
2020	J	`jnl`	Understanding Deep Architectures with Reasoning Layer. CoRR Xinshi Chen, Yufei Zhang, Christoph Reisinger, Le Song
2020	J	`jnl`	Well-posedness and numerical schemes for McKean-Vlasov equations and interacting particle systems with discontinuous drift. CoRR Gunther Leobacher, Christoph Reisinger, Wolfgang Stockinger
2020	J	`jnl`	Well-posedness and tamed Euler schemes for McKean-Vlasov equations driven by Lévy noise. CoRR Neelima, Sani Biswas, Chaman Kumar, Gonçalo Dos Reis, Christoph Reisinger
2020	J	`jnl`	Well-posedness and tamed schemes for McKean-Vlasov Equations with Common Noise. CoRR Chaman Kumar, Neelima, Christoph Reisinger, Wolfgang Stockinger
2019	J	`jnl`	A Penalty Scheme for Monotone Systems with Interconnected Obstacles: Convergence and Error Estimates. SIAM J. Numer. Anal. Christoph Reisinger, Yufei Zhang
2019	J	`jnl`	A neural network based policy iteration algorithm with global H CoRR Kazufumi Ito, Christoph Reisinger, Yufei Zhang
2019	J	`jnl`	Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model with a Control Variate Particle Method. SIAM J. Financial Math. Andrei Cozma, Matthieu Mariapragassam, Christoph Reisinger
2019	J	`jnl`	Rectified deep neural networks overcome the curse of dimensionality for nonsmooth value functions in zero-sum games of nonlinear stiff systems. CoRR Christoph Reisinger, Yufei Zhang
2018	J	`jnl`	Convergence of an Euler Scheme for a Hybrid Stochastic-Local Volatility Model with Stochastic Rates in Foreign Exchange Markets. SIAM J. Financial Math. Andrei Cozma, Matthieu Mariapragassam, Christoph Reisinger
2018	J	`jnl`	Numerical analysis of an extended structural default model with mutual liabilities and jump risk. J. Comput. Sci. Vadim Kaushansky, Alexander Lipton, Christoph Reisinger
2018	J	`jnl`	Strong Convergence Rates for Euler Approximations to a Class of Stochastic Path-Dependent Volatility Models. SIAM J. Numer. Anal. Andrei Cozma, Christoph Reisinger
2018	J	`jnl`	The non-locality of Markov chain approximations to two-dimensional diffusions. Math. Comput. Simul. Christoph Reisinger
2017	J	`jnl`	A Partial Fourier Transform Method for a Class of Hypoelliptic Kolmogorov Equations. SIAM J. Numer. Anal. Christoph Reisinger, Endre Süli, Alan Whitley
2017	J	`jnl`	Boundary Treatment and Multigrid Preconditioning for Semi-Lagrangian Schemes Applied to Hamilton-Jacobi-Bellman Equations. J. Sci. Comput. Christoph Reisinger, Julen Rotaetxe Arto
2013	J	`jnl`	The Effect of Nonsmooth Payoffs on the Penalty Approximation of American Options. SIAM J. Financial Math. Sam D. Howison, Christoph Reisinger, Jan Hendrik Witte
2012	J	`jnl`	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. Christoph Reisinger
2012	J	`jnl`	On the Use of Policy Iteration as an Easy Way of Pricing American Options. SIAM J. Financial Math. Christoph Reisinger, Jan Hendrik Witte
2012	J	`jnl`	Penalty Methods for the Solution of Discrete HJB Equations - Continuous Control and Obstacle Problems. SIAM J. Numer. Anal. Jan Hendrik Witte, Christoph Reisinger
2012	J	`jnl`	Stochastic Finite Differences and Multilevel Monte Carlo for a Class of SPDEs in Finance. SIAM J. Financial Math. Michael B. Giles, Christoph Reisinger
2011	J	`jnl`	A Penalty Method for the Numerical Solution of Hamilton-Jacobi-Bellman (HJB) Equations in Finance. SIAM J. Numer. Anal. Jan Hendrik Witte, Christoph Reisinger
2011	J	`jnl`	Stochastic Evolution Equations in Portfolio Credit Modelling. SIAM J. Financial Math. N. Bush, Ben M. Hambly, Helen Haworth, L. Jin, Christoph Reisinger
2007	J	`jnl`	Efficient Hierarchical Approximation of High-Dimensional Option Pricing Problems. SIAM J. Sci. Comput. Christoph Reisinger, Gabriel Wittum