42 citations · 300 across the 66 of their papers we have counts for
25 papers · 1 filter
Implicit and fully discrete approximation of the supercooled Stefan problem in the presence of blow-ups
Christa Cuchiero, Christoph Reisinger, Stefan Rigger
We consider two implicit approximation schemes of the one-dimensional supercooled Stefan problem and prove their convergence, even in the presence of finite time blow-ups. All proo…
Simulation of conditional expectations under fast mean-reverting stochastic volatility models
Andrei Cozma, Christoph Reisinger
In this short paper, we study the simulation of a large system of stochastic processes subject to a common driving noise and fast mean-reverting stochastic volatilities. This model…
A posteriori error estimates for fully coupled McKean-Vlasov forward-backward SDEs
Christoph Reisinger, Wolfgang Stockinger, Yufei Zhang
Fully coupled McKean-Vlasov forward-backward stochastic differential equations (MV-FBSDEs) arise naturally from large population optimization problems. Judging the quality of given…
An adaptive Euler-Maruyama scheme for McKean-Vlasov SDEs with super-linear growth and application to the mean-field FitzHugh-Nagumo model
Christoph Reisinger, Wolfgang Stockinger
In this paper, we introduce adaptive Euler-Maruyama schemes for McKean-Vlasov stochastic differential equations (SDEs) assuming only a standard monotonicity condition on the drift…
Milstein schemes and antithetic multilevel Monte Carlo sampling for delay McKean-Vlasov equations and interacting particle systems
Jianhai Bao, Christoph Reisinger, Panpan Ren +1
In this paper, we first derive Milstein schemes for an interacting particle system associated with point delay McKean-Vlasov stochastic differential equations (McKean-Vlasov SDEs),…
A neural network based policy iteration algorithm with global -superlinear convergence for stochastic games on domains
Kazufumi Ito, Christoph Reisinger, Yufei Zhang
In this work, we propose a class of numerical schemes for solving semilinear Hamilton-Jacobi-Bellman-Isaacs (HJBI) boundary value problems which arise naturally from exit time prob…