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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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q-fin.RM2015

What's in a ball? Constructing and characterizing uncertainty sets

Thomas Kruse, Judith C. Schneider, Nikolaus Schweizer

In the presence of model risk, it is well-established to replace classical expected values by worst-case expectations over all models within a fixed radius from a given reference m…