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20132023
most citedOn multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations

136 citations · 451 across the 26 of their papers we have counts for

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math.OC2022★ 2 cited

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…