1 citations · 1 across the 3 of their papers we have counts for
13 papers
Goal-Oriented Adaptive Finite Element Multilevel Quasi-Monte Carlo
Joakim Beck, Yang Liu, Erik von Schwerin +1
The efficient approximation of quantities of interest derived from PDEs with lognormal diffusivity is a central challenge in uncertainty quantification. This paper targets a proble…
Pontryagin-Based Solver with Smoothed Hamiltonian, Adaptive , and PA-Bundle Refinement
Salim Ksous, Sebastian Lalvay Segovia, Mattias Sandberg +3
We present a Pontryagin-based numerical solver for deterministic optimal control problems in Bolza form. The solver regularizes the generally nonsmooth Hamiltonian using a log-sum-…
Quasi-Monte Carlo with Domain Transformation for Efficient Fourier Pricing of Multi-Asset Options
Christian Bayer, Chiheb Ben Hammouda, Antonis Papapantoleon +2
Efficiently pricing multi-asset options poses a significant challenge in quantitative finance. Fourier methods leverage the regularity properties of the integrand in the Fourier do…
Convergence for adaptive resampling of random Fourier features
Xin Huang, Aku Kammonen, Anamika Pandey +4
The machine learning random Fourier feature method for data in high dimension is computationally and theoretically attractive since the optimization is based on a convex standard l…
Data-Driven Stochastic Optimal Control for Intraday Electricity Trading by Renewable Producers
Chiheb Ben Hammouda, Michael Samet, Raúl Tempone
The rapid growth of weather-dependent renewable generation increases price volatility and imbalance penalty risk in power markets, creating the need for advanced quantitative tradi…
Hierarchical Importance Sampling for Estimating Occupation Time for SDE Solutions
Eya Ben Amar, Nadhir Ben Rached, Raul Tempone
This study considers the estimation of the complementary cumulative distribution function of the occupation time (i.e., the time spent below a threshold) for a process governed by…