136 citations · 451 across the 26 of their papers we have counts for
4 papers · 1 filter
Nonlinear Monte Carlo methods with polynomial runtime for Bellman equations of discrete time high-dimensional stochastic optimal control problems
Christian Beck, Arnulf Jentzen, Konrad Kleinberg +1
Discrete time stochastic optimal control problems and Markov decision processes (MDPs), respectively, serve as fundamental models for problems that involve sequential decision maki…
Reducing Obizhaeva-Wang type trade execution problems to LQ stochastic control problems
Julia Ackermann, Thomas Kruse, Mikhail Urusov
We start with a stochastic control problem where the control process is of finite variation (possibly with jumps) and acts as integrator both in the state dynamics and in the targe…
An inverse optimal stopping problem for diffusion processes
Thomas Kruse, Philipp Strack
Let be a one-dimensional diffusion and let be a payoff function depending on time and the value of . The paper analyzes the inver…
BSDEs with singular terminal condition and control problems with constraints
Stefan Ankirchner, Monique Jeanblanc, Thomas Kruse
We provide a probabilistic solution of a not necessarily Markovian control problem with a state constraint by means of a Backward Stochastic Differential Equation (BSDE). The novel…