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math.NA2020
Optimization based model order reduction for stochastic systems
Martin Redmann, Melina A. Freitag
In this paper, we bring together the worlds of model order reduction for stochastic linear systems and -optimal model order reduction for deterministic systems. In pa…
math.NA2020
Runge-Kutta methods for rough differential equations
Martin Redmann, Sebastian Riedel
We study Runge-Kutta methods for rough differential equations which can be used to calculate solutions to stochastic differential equations driven by processes that are rougher tha…
math.PR2020
Low-dimensional approximations of high-dimensional asset price models
Martin Redmann, Christian Bayer, Pawan Goyal
We consider high-dimensional asset price models that are reduced in their dimension in order to reduce the complexity of the problem or the effect of the curse of dimensionality in…