activity
20162026
most citedL^p -solution for BSDEs with jumps in the case p \textless{} 2. Corrections to the paper "BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration"

2 citations · 2 across the 6 of their papers we have counts for

collaborators
Showing 2026Show all

4 papers · 1 filter

math.PR2026

Path-dependent Affine Processes

Boris Günther, Thomas Kruse, Ludger Overbeck +1

We extend the classical theory of affine processes to a path-dependent setting by introducing path-dependent coefficients and provide analytic formulas for their Fourier--Laplace t…

math.OC2026

Optimal Asymptotic Rates for (Stochastic) Gradient Descent under the Local PL-Condition: A Geometric Approach

Sebastian Kassing, Thomas Kruse

Stochastic gradient descent (SGD) has been studied extensively over the past decades due to its simplicity and broad applicability in machine learning. In this work, we analyze the…

math.OC2026

Time discretization of BSDEs with singular terminal condition using asymptotic expansion

Thomas Kruse, Julia Ackermann, Alexandre Popier

We consider a class of backward stochastic differential equations (BSDEs) with singular terminal condition and develop a numerical scheme to approximate their solution. To this end…

math.OC2026

Matrix Riccati BSDEs with singular terminal condition and stochastic LQ control with linear terminal constraint

Julia Ackermann, Thomas Kruse, Petr Petrov +1

We analyze a class of multidimensional linear-quadratic stochastic control problems with random coefficients, motivated by multi-asset optimal trade execution. The problems feature…