13 citations · 23 across the 8 of their papers we have counts for
9 papers
Optimal Stopping with Trees: The Details
Sigurd Assing, Xin Zhi
The purpose of this paper is two-fold, first, to review a recent method introduced by S. Becker, P. Cheridito, and P. Jentzen, for solving high-dimensional optimal stopping problem…
Stochastic model reduction: convergence and applications to climate equations
Sigurd Assing, Franco Flandoli, Umberto Pappalettera
We study stochastic model reduction for evolution equations in infinite dimensional Hilbert spaces, and show the convergence to the reduced equations via abstract results of Wong-Z…
Extension Technique for Functions of Diffusion Operators: a stochastic approach
Sigurd Assing, John Herman
It has recently been shown that complete Bernstein functions of the Laplace operator map the Dirichlet boundary condition of a related elliptic PDE to the Neumann boundary conditio…
On Trading American Put Options with Interactive Volatility
Sigurd Assing, Yufan Zhao
We introduce a simple stochastic volatility model, whose novelty consists in taking into account hitting times of the asset price, and study the optimal stopping problem correspond…
On the collapse of trial solutions for a damped-driven non-linear Schrödinger equation
Sigurd Assing, Astrid Hilbert
We consider the focusing 2D non-linear Schrödinger equation, perturbed by a damping term, and driven by multiplicative noise. We show that a physically motivated trial solution doe…
On the spatial dynamics of the solution to the stochastic heat equation
Sigurd Assing, James Bichard
We consider the solution of , subject to , where is a Brownian sheet. We sho…
Monotonicity of the value function for a two-dimensional optimal stopping problem
Sigurd Assing, Saul Jacka, Adriana Ocejo
We consider a pair of stochastic processes satisfying the equation driven by a Brownian motion and study the monotonicity and continuity in of the value…
A rigorous equation for the Cole-Hopf solution of the conservative KPZ equation
Sigurd Assing
A rigorous equation is stated and it is shown that the spatial derivative of the Cole-Hopf solution of the KPZ equation is a solution of this equation. The method of proof used to…
A resolvent-type method for estimating time integrals of quadratic fluctuations in weakly asymmetric exclusion
Sigurd Assing
We describe a resolvent-type method for estimating time integrals of time-dependent functionals of general right processes in equilibrium and apply this result in the case of weakl…