activity
20102026
most citedA unified deep artificial neural network approach to partial differential equations in complex geometries

678 citations · 994 across the 24 of their papers we have counts for

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Showing 2014Show all

3 papers · 1 filter

math.AP2014

Tug-of-war, market manipulation and option pricing

Kaj Nyström, Mikko Parviainen

We develop an option pricing model based on a tug-of-war game. This two-player zero-sum stochastic differential game is formulated in the context of a multi-dimensional financial m…

math.CA2014★ 69 cited

A new characterization of chord-arc domains

Jonas Azzam, Steve Hofmann, José María Martell +2

We show that if , , is a uniform domain (aka 1-sided NTA domain), i.e., a domain which enjoys interior Corkscrew and Harnack Chain conditions, t…

math.OC2014

Optimal Switching Problems under Partial Information

Kai Li, Kaj Nyström, Marcus Olofsson

In this paper we formulate and study an optimal switching problem under partial information. In our model the agent/manager/investor attempts to maximize the expected reward by swi…