2 citations · 2 across the 1 of their papers we have counts for
5 papers
Stochastic differential equations with irregular coefficients:~mind the gap!
Michaela Szölgyenyi
Numerical methods for stochastic differential equations with non-globally Lipschitz coefficients are currently studied intensively. This article gives an overview of our work for t…
A deep neural network algorithm for semilinear elliptic PDEs with applications in insurance mathematics
Stefan Kremsner, Alexander Steinicke, Michaela Szölgyenyi
In insurance mathematics optimal control problems over an infinite time horizon arise when computing risk measures. Their solutions correspond to solutions of deterministic semilin…
Existence and uniqueness of solutions of SDEs with discontinuous drift and finite activity jumps
Paweł Przybyłowicz, Michaela Szölgyenyi, Fanhui Xu
In this letter we prove existence and uniqueness of strong solutions to multi-dimensional SDEs with discontinuous drift and finite activity jumps.
Existence, uniqueness, and approximation of solutions of jump-diffusion SDEs with discontinuous drift
Paweł Przybyłowicz, Michaela Szölgyenyi
In this paper we study jump-diffusion stochastic differential equations (SDEs) with a discontinuous drift coefficient and a possibly degenerate diffusion coefficient. Such SDEs app…
Bayesian Dividend Optimization and Finite Time Ruin Probabilities
Gunther Leobacher, Michaela Szölgyenyi, Stefan Thonhauser
We consider the valuation problem of an (insurance) company under partial information. Therefore we use the concept of maximizing discounted future dividend payments. The firm valu…