T. Kruse

activity

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

collaborators

Showing 2015Show all

2 papers · 1 filter

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…

math.PR2015

Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting

T Kruse, A Popier

We study the existence of a minimal supersolution for backward stochastic differential equations when the terminal data can take the value + $\infty$ with positive probability. We d…