2.3k citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
- Shuguang Cui5 profiles29 · h 63
- Arnulf Jentzen22 · h 49
- Z. Luo18 · h 89
- Guangxu Zhu5 profiles17 · h 33
- Xiaoguang Han2 profiles15 · h 42
- Hang Li2 profiles13 · h 18
- Tsung-Hui Chang11 · h 45
- Qingjiang Shi3 profiles9 · h 36
- H. Poor2 profiles7 · h 141
- Rui Zhang3 profiles7 · h 137
- Shiyin Li7 · h 21
- Xiaoyang Li2 profiles7 · h 9
- Chinese University of Hong Kong, ShenzhenCN158 papers
- University of MünsterDE21 papers
- Chinese University of Hong KongHK16 papers
- University of Hong KongHK15 papers
- ETH ZurichCH14 papers
- Sun Yat-sen UniversityCN13 papers
- National University of SingaporeSG12 papers
- Peng Cheng LaboratoryCN10 papers
- Princeton UniversityUS10 papers
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- Beijing University of Posts and TelecommunicationsCN9 papers
- Chinese Academy of SciencesCN9 papers
3 papers · 2 filters
An efficient Monte Carlo scheme for Zakai equations
Christian Beck, Sebastian Becker, Patrick Cheridito +2
In this paper we develop a numerical method for efficiently approximating solutions of certain Zakai equations in high dimensions. The key idea is to transform a given Zakai SPDE i…
Fast operator splitting methods for obstacle problems
Hao Liu, Dong Wang
The obstacle problem is a class of free boundary problems which finds applications in many disciplines such as porous media, financial mathematics and optimal control. In this pape…
Learning the random variables in Monte Carlo simulations with stochastic gradient descent: Machine learning for parametric PDEs and financial derivative pricing
Sebastian Becker, Arnulf Jentzen, Marvin S. Müller +1
In financial engineering, prices of financial products are computed approximately many times each trading day with (slightly) different parameters in each calculation. In many fina…