13 citations · 44 across the 4 of their papers we have counts for
4 papers
Learning the random variables in Monte Carlo simulations with stochastic gradient descent: Machine learning for parametric PDEs and financial derivative pricing
Sebastian Becker, Arnulf Jentzen, Marvin S. Müller +1
In financial engineering, prices of financial products are computed approximately many times each trading day with (slightly) different parameters in each calculation. In many fina…
Weak convergence rates for stochastic evolution equations and applications to nonlinear stochastic wave, HJMM, stochastic Schrödinger and linearized stochastic Korteweg-de Vries equations
Philipp Harms, Marvin S. Müller
We establish weak convergence rates for noise discretizations of a wide class of stochastic evolution equations with non-regularizing semigroups and additive or multiplicative nois…
A stochastic Stefan-type problem under first-order boundary conditions
Marvin S. Mueller
Moving boundary problems allow to model systems with phase transition at an inner boundary. Driven by problems in economics and finance, in particular modeling of limit order books…
A Stefan-type stochastic moving boundary problem
Martin Keller-Ressel, Marvin S. Mueller
Motivated by applications in economics and finance, in particular to the modeling of limit order books, we study a class of stochastic second-order PDEs with non-linear Stefan-type…