John Schoenmakers

30 papers Misc 1Journal 29

Year	Rank	Type	Title / Venue / Authors
2025	J	`jnl`	Forward Reverse Kernel Regression for the Schrödinger bridge problem. CoRR Denis Belomestny, John Schoenmakers
2025	J	`jnl`	Robust Multiple Stopping - A Duality Approach. Math. Oper. Res. Roger J. A. Laeven, John Schoenmakers, Nikolaus Schweizer, Mitja Stadje
2025	J	`jnl`	Weighted mesh algorithms for general Markov decision processes: Convergence and tractability. J. Complex. Denis Belomestny, John Schoenmakers, Veronika Zorina
2024	J	`jnl`	Primal-Dual Regression Approach for Markov Decision Processes with General State and Action Spaces. SIAM J. Control. Optim. Denis Belomestny, John Schoenmakers
2024	J	`jnl`	Weighted mesh algorithms for general Markov decision processes: Convergence and tractability. CoRR Denis Belomestny, John Schoenmakers
2023	J	`jnl`	Solving Optimal Stopping Problems via Randomization and Empirical Dual Optimization. Math. Oper. Res. Denis Belomestny, Christian Bender, John Schoenmakers
2022	J	`jnl`	Primal-dual regression approach for Markov decision processes with general state and action space. CoRR Denis Belomestny, John Schoenmakers
2021	J	`jnl`	Randomized Optimal Stopping Algorithms and Their Convergence Analysis. SIAM J. Financial Math. Christian Bayer, Denis Belomestny, Paul Hager, Paolo Pigato, John Schoenmakers
2020	J	`jnl`	Optimal Stopping of McKean-Vlasov Diffusions via Regression on Particle Systems. SIAM J. Control. Optim. Denis Belomestny, John Schoenmakers
2020	J	`jnl`	Randomized optimal stopping algorithms and their convergence analysis. CoRR Christian Bayer, Denis Belomestny, Paul Hager, Paolo Pigato, John Schoenmakers
2020	J	`jnl`	Reinforced optimal control. CoRR Christian Bayer, Denis Belomestny, Paul Hager, Paolo Pigato, John Schoenmakers, Vladimir G. Spokoiny
2019	J	`jnl`	Semi-tractability of optimal stopping problems via a weighted stochastic mesh algorithm. CoRR Denis Belomestny, Maxim Kaledin, John Schoenmakers
2018	J	`jnl`	Optimal Stopping Under Uncertainty in Drift and Jump Intensity. Math. Oper. Res. Volker Krätschmer, Marcel Ladkau, Roger J. A. Laeven, John Schoenmakers, Mitja Stadje
2018	J	`jnl`	Projected Particle Methods for Solving McKean-Vlasov Stochastic Differential Equations. SIAM J. Numer. Anal. Denis Belomestny, John Schoenmakers
2017	J	`jnl`	SDE Based Regression for Linear Random PDEs. SIAM J. Sci. Comput. Felix Anker, Christian Bayer, Martin Eigel, Marcel Ladkau, Johannes Neumann, John Schoenmakers
2016	J	`jnl`	From Rough Path Estimates to Multilevel Monte Carlo. SIAM J. Numer. Anal. Christian Bayer, Peter K. Friz, Sebastian Riedel, John Schoenmakers
2015	J	`jnl`	Addendum to: Multilevel dual approach for pricing American style derivatives. Finance Stochastics Denis Belomestny, Mark S. Joshi, John Schoenmakers
2015	J	`jnl`	Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration. SIAM J. Financial Math. Zorana Grbac, Antonis Papapantoleon, John Schoenmakers, David Skovmand
2015	J	`jnl`	Multilevel Simulation Based Policy Iteration for Optimal Stopping-Convergence and Complexity. SIAM/ASA J. Uncertain. Quantification Denis Belomestny, Marcel Ladkau, John Schoenmakers
2013	J	`jnl`	Multilevel dual approach for pricing American style derivatives. Finance Stochastics Denis Belomestny, John Schoenmakers, Fabian Dickmann
2013	J	`jnl`	Optimal Dual Martingales, Their Analysis, and Application to New Algorithms for Bermudan Products. SIAM J. Financial Math. John Schoenmakers, Jianing Zhang, Junbo Huang
2012	J	`jnl`	A pure martingale dual for multiple stopping. Finance Stochastics John Schoenmakers
2012	Misc	`conf`	Tight bounds for American options via multilevel Monte Carlo. WSC Denis Belomestny, Marcel Ladkau, John Schoenmakers
2010	J	`jnl`	Regression Methods for Stochastic Control Problems and Their Convergence Analysis. SIAM J. Control. Optim. Denis Belomestny, Anastasia Kolodko, John Schoenmakers
2010	J	`jnl`	Representations for Optimal Stopping under Dynamic Monetary Utility Functionals. SIAM J. Financial Math. Volker Krätschmer, John Schoenmakers
2009	J	`jnl`	Multiple stochastic volatility extension of the Libor market model and its implementation. Monte Carlo Methods Appl. Denis Belomestny, Stanley Mathew, John Schoenmakers
2008	J	`jnl`	Monte Carlo Greeks for Financial Products via Approximative Transition Densities. SIAM J. Sci. Comput. Jörg Kampen, Anastasia Kolodko, John Schoenmakers
2006	J	`jnl`	Iterative construction of the optimal Bermudan stopping time. Finance Stochastics Anastasia Kolodko, John Schoenmakers
2006	J	`jnl`	Policy iteration for american options: overview. Monte Carlo Methods Appl. Christian Bender, Anastasia Kolodko, John Schoenmakers
2004	J	`jnl`	Upper Bounds for Bermudan Style Derivatives. Monte Carlo Methods Appl. Anastasia Kolodko, John Schoenmakers