136 citations · 451 across the 26 of their papers we have counts for
6 papers · 1 filter
Inhomogeneous affine Volterra processes
Julia Ackermann, Thomas Kruse, Ludger Overbeck
We extend recent results on affine Volterra processes to the inhomogeneous case. This includes moment bounds of solutions of Volterra equations driven by a Brownian motion with an…
Multilevel Picard approximations for high-dimensional semilinear second-order PDEs with Lipschitz nonlinearities
Martin Hutzenthaler, Arnulf Jentzen, Thomas Kruse +1
The recently introduced full-history recursive multilevel Picard (MLP) approximation methods have turned out to be quite successful in the numerical approximation of solutions of h…
Nonlinear Monte Carlo methods with polynomial runtime for high-dimensional iterated nested expectations
Christian Beck, Arnulf Jentzen, Thomas Kruse
The approximative calculation of iterated nested expectations is a recurring challenging problem in applications. Nested expectations appear, for example, in the numerical approxim…
Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models
Julia Ackermann, Thomas Kruse, Mikhail Urusov
We analyze an optimal trade execution problem in a financial market with stochastic liquidity. To this end we set up a limit order book model in continuous time. Both order book de…
Optimal trade execution in an order book model with stochastic liquidity parameters
Julia Ackermann, Thomas Kruse, Mikhail Urusov
We analyze an optimal trade execution problem in a financial market with stochastic liquidity. To this end we set up a limit order book model in which both order book depth and res…
Properties of the EMCEL scheme for approximating irregular diffusions
Stefan Ankirchner, Thomas Kruse, Wolfgang Löhr +1
We prove several properties of the EMCEL scheme, which is capable of approximating one-dimensional continuous strong Markov processes in distribution on the path space (the scheme…