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ORCIDChristoph Reisinger
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2020 – today
- 2024
[j33]Christa Cuchiero, Christoph Reisinger
, Stefan Rigger:
Correction to: Optimal bailout strategies resulting from the drift controlled supercooled Stefan problem. Ann. Oper. Res. 332(1): 1175 (2024)- [j32]Christa Cuchiero, Christoph Reisinger, Stefan Rigger:
Optimal bailout strategies resulting from the drift controlled supercooled Stefan problem. Ann. Oper. Res. 336(1-2): 1315-1349 (2024) - [j31]Michael Giegrich, Christoph Reisinger, Yufei Zhang:
Convergence of Policy Gradient Methods for Finite-Horizon Exploratory Linear-Quadratic Control Problems. SIAM J. Control. Optim. 62(2): 1060-1092 (2024) - [j30]Christa Cuchiero, Christoph Reisinger, Stefan Rigger:
Implicit and Fully Discrete Approximation of the Supercooled Stefan Problem in the Presence of Blow-Ups. SIAM J. Numer. Anal. 62(3): 1145-1170 (2024) - [j29]Christoph Reisinger, Wolfgang Stockinger, Yufei Zhang:
A Fast Iterative PDE-Based Algorithm for Feedback Controls of Nonsmooth Mean-Field Control Problems. SIAM J. Sci. Comput. 46(4): 2737- (2024) - [i21]Michael Giegrich, Roel Oomen, Christoph Reisinger:
Limit Order Book Simulation and Trade Evaluation with K-Nearest-Neighbor Resampling. CoRR abs/2409.06514 (2024) - 2023
- [j28]Christoph Reisinger, Wolfgang Stockinger, Yufei Zhang:
Linear Convergence of a Policy Gradient Method for Some Finite Horizon Continuous Time Control Problems. SIAM J. Control. Optim. 61(6): 3526-3558 (2023) - [j27]Alessandro Gnoatto, Athena Picarelli, Christoph Reisinger:
Deep xVA Solver: A Neural Network-Based Counterparty Credit Risk Management Framework. SIAM J. Financial Math. 14(1): 314-352 (2023) - [i20]Michael Giegrich, Roel Oomen, Christoph Reisinger:
K-Nearest-Neighbor Resampling for Off-Policy Evaluation in Stochastic Control. CoRR abs/2306.04836 (2023) - 2022
- [j26]Christoph Reisinger, Wolfgang Stockinger:
An adaptive Euler-Maruyama scheme for McKean-Vlasov SDEs with super-linear growth and application to the mean-field FitzHugh-Nagumo model. J. Comput. Appl. Math. 400: 113725 (2022) - [i19]Christoph Reisinger, Jonathan Tam:
Markov decision processes with observation costs. CoRR abs/2201.07908 (2022) - [i18]Christoph Reisinger, Wolfgang Stockinger, Yufei Zhang:
Linear convergence of a policy gradient method for finite horizon continuous time stochastic control problems. CoRR abs/2203.11758 (2022) - [i17]Christa Cuchiero, Christoph Reisinger, Stefan Rigger:
Implicit and fully discrete approximation of the supercooled Stefan problem in the presence of blow-ups. CoRR abs/2206.14641 (2022) - [i16]Sani Biswas, Chaman Kumar, Neelima, Gonçalo Dos Reis, Christoph Reisinger:
An explicit Milstein-type scheme for interacting particle systems and McKean-Vlasov SDEs with common noise and non-differentiable drift coefficients. CoRR abs/2208.10052 (2022) - [i15]Michael Giegrich, Christoph Reisinger, Yufei Zhang:
Convergence of policy gradient methods for finite-horizon stochastic linear-quadratic control problems. CoRR abs/2211.00617 (2022) - 2021
- [j25]Christoph Reisinger, Yufei Zhang:
A penalty scheme and policy iteration for nonlocal HJB variational inequalities with monotone nonlinearities. Comput. Math. Appl. 93: 199-213 (2021) - [j24]Kazufumi Ito, Christoph Reisinger, Yufei Zhang:
A Neural Network-Based Policy Iteration Algorithm with Global H2-Superlinear Convergence for Stochastic Games on Domains. Found. Comput. Math. 21(2): 331-374 (2021) - [j23]Olivier Bokanowski, Athena Picarelli, Christoph Reisinger:
Stability and convergence of second order backward differentiation schemes for parabolic Hamilton-Jacobi-Bellman equations. Numerische Mathematik 148(1): 187-222 (2021) - [j22]Christoph Reisinger, Yufei Zhang:
Regularity and Stability of Feedback Relaxed Controls. SIAM J. Control. Optim. 59(5): 3118-3151 (2021) - [j21]Cyril Bénézet, Jean-François Chassagneux, Christoph Reisinger:
A Numerical Scheme for the Quantile Hedging Problem. SIAM J. Financial Math. 12(1): 110-157 (2021) - 2020
- [j20]Athena Picarelli, Christoph Reisinger:
Duality-based a posteriori error estimates for some approximation schemes for optimal investment problems. Comput. Math. Appl. 79(7): 2099-2118 (2020) - [j19]Athena Picarelli, Christoph Reisinger:
Probabilistic error analysis for some approximation schemes to optimal control problems. Syst. Control. Lett. 137: 104619 (2020) - [j18]Christoph Reisinger, Yufei Zhang:
Error Estimates of Penalty Schemes for Quasi-Variational Inequalities Arising from Impulse Control Problems. SIAM J. Control. Optim. 58(1): 243-276 (2020) - [j17]Vicky Henderson, Kamil Kladívko, Michael Monoyios, Christoph Reisinger:
Executive Stock Option Exercise with Full and Partial Information on a Drift Change Point. SIAM J. Financial Math. 11(4): 1007-1062 (2020) - [c2]Andrei S. Cozma, Christoph Reisinger:
Simulation of Conditional Expectations Under Fast Mean-Reverting Stochastic Volatility Models. MCQMC 2020: 223-240 - [c1]Xinshi Chen, Yufei Zhang, Christoph Reisinger, Le Song:
Understanding Deep Architecture with Reasoning Layer. NeurIPS 2020 - [i14]Christoph Reisinger, Yufei Zhang:
Regularity and stability of feedback relaxed controls. CoRR abs/2001.03148 (2020) - [i13]Jianhai Bao, Christoph Reisinger, Panpan Ren, Wolfgang Stockinger:
First order convergence of Milstein schemes for McKean equations and interacting particle systems. CoRR abs/2004.03325 (2020) - [i12]Jianhai Bao, Christoph Reisinger, Panpan Ren, Wolfgang Stockinger:
Milstein schemes for delay McKean equations and interacting particle systems. CoRR abs/2005.01165 (2020) - [i11]Christoph Reisinger, Wolfgang Stockinger:
An adaptive Euler-Maruyama scheme for McKean SDEs with super-linear growth and application to the mean-field FitzHugh-Nagumo model. CoRR abs/2005.06034 (2020) - [i10]Chaman Kumar, Neelima, Christoph Reisinger, Wolfgang Stockinger:
Well-posedness and tamed schemes for McKean-Vlasov Equations with Common Noise. CoRR abs/2006.00463 (2020) - [i9]Xinshi Chen, Yufei Zhang, Christoph Reisinger, Le Song:
Understanding Deep Architectures with Reasoning Layer. CoRR abs/2006.13401 (2020) - [i8]Gunther Leobacher, Christoph Reisinger, Wolfgang Stockinger:
Well-posedness and numerical schemes for McKean-Vlasov equations and interacting particle systems with discontinuous drift. CoRR abs/2006.14892 (2020) - [i7]Christoph Reisinger, Wolfgang Stockinger, Yufei Zhang:
A posteriori error estimates for fully coupled McKean-Vlasov forward-backward SDEs. CoRR abs/2007.07731 (2020) - [i6]Christoph Reisinger, Wolfgang Stockinger, Yufei Zhang:
Regularity and time discretization of extended mean field control problems: a McKean-Vlasov FBSDE approach. CoRR abs/2009.08175 (2020) - [i5]Vadim Kaushansky, Christoph Reisinger, Mykhaylo Shkolnikov, Zhuo Qun Song:
Convergence of a time-stepping scheme to the free boundary in the supercooled Stefan problem. CoRR abs/2010.05281 (2020) - [i4]Neelima, Sani Biswas, Chaman Kumar, Gonçalo Dos Reis, Christoph Reisinger:
Well-posedness and tamed Euler schemes for McKean-Vlasov equations driven by Lévy noise. CoRR abs/2010.08585 (2020) - [i3]Andrei Cozma, Christoph Reisinger:
Simulation of conditional expectations under fast mean-reverting stochastic volatility models. CoRR abs/2012.09726 (2020)
2010 – 2019
- 2019
- [j16]Andrei Cozma, Matthieu Mariapragassam, Christoph Reisinger:
Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model with a Control Variate Particle Method. SIAM J. Financial Math. 10(1): 181-213 (2019) - [j15]Christoph Reisinger, Yufei Zhang:
A Penalty Scheme for Monotone Systems with Interconnected Obstacles: Convergence and Error Estimates. SIAM J. Numer. Anal. 57(4): 1625-1648 (2019) - [i2]Christoph Reisinger, Yufei Zhang:
Rectified deep neural networks overcome the curse of dimensionality for nonsmooth value functions in zero-sum games of nonlinear stiff systems. CoRR abs/1903.06652 (2019) - [i1]Kazufumi Ito, Christoph Reisinger, Yufei Zhang:
A neural network based policy iteration algorithm with global H2-superlinear convergence for stochastic games on domains. CoRR abs/1906.02304 (2019) - 2018
- [j14]Vadim Kaushansky, Alexander Lipton, Christoph Reisinger:
Numerical analysis of an extended structural default model with mutual liabilities and jump risk. J. Comput. Sci. 24: 218-231 (2018) - [j13]Christoph Reisinger:
The non-locality of Markov chain approximations to two-dimensional diffusions. Math. Comput. Simul. 143: 176-185 (2018) - [j12]Andrei Cozma, Matthieu Mariapragassam, Christoph Reisinger:
Convergence of an Euler Scheme for a Hybrid Stochastic-Local Volatility Model with Stochastic Rates in Foreign Exchange Markets. SIAM J. Financial Math. 9(1): 127-170 (2018) - [j11]Andrei Cozma, Christoph Reisinger:
Strong Convergence Rates for Euler Approximations to a Class of Stochastic Path-Dependent Volatility Models. SIAM J. Numer. Anal. 56(6): 3430-3458 (2018) - 2017
- [j10]Christoph Reisinger, Julen Rotaetxe Arto:
Boundary Treatment and Multigrid Preconditioning for Semi-Lagrangian Schemes Applied to Hamilton-Jacobi-Bellman Equations. J. Sci. Comput. 72(1): 198-230 (2017) - [j9]Christoph Reisinger, Endre Süli, Alan Whitley:
A Partial Fourier Transform Method for a Class of Hypoelliptic Kolmogorov Equations. SIAM J. Numer. Anal. 55(4): 1867-1891 (2017) - 2013
- [j8]Sam D. Howison, Christoph Reisinger, Jan Hendrik Witte:
The Effect of Nonsmooth Payoffs on the Penalty Approximation of American Options. SIAM J. Financial Math. 4(1): 539-574 (2013) - 2012
- [j7]Christoph Reisinger:
Mean-square stability and error analysis of implicit time-stepping schemes for linear parabolic SPDEs with multiplicative Wiener noise in the first derivative. Int. J. Comput. Math. 89(18): 2562-2575 (2012) - [j6]Christoph Reisinger, Jan Hendrik Witte:
On the Use of Policy Iteration as an Easy Way of Pricing American Options. SIAM J. Financial Math. 3(1): 459-478 (2012) - [j5]Michael B. Giles, Christoph Reisinger:
Stochastic Finite Differences and Multilevel Monte Carlo for a Class of SPDEs in Finance. SIAM J. Financial Math. 3(1): 572-592 (2012) - [j4]Jan Hendrik Witte, Christoph Reisinger:
Penalty Methods for the Solution of Discrete HJB Equations - Continuous Control and Obstacle Problems. SIAM J. Numer. Anal. 50(2): 595-625 (2012) - 2011
- [j3]N. Bush, Ben M. Hambly, Helen Haworth, L. Jin, Christoph Reisinger:
Stochastic Evolution Equations in Portfolio Credit Modelling. SIAM J. Financial Math. 2(1): 627-664 (2011) - [j2]Jan Hendrik Witte, Christoph Reisinger:
A Penalty Method for the Numerical Solution of Hamilton-Jacobi-Bellman (HJB) Equations in Finance. SIAM J. Numer. Anal. 49(1): 213-231 (2011)
2000 – 2009
- 2007
- [j1]Christoph Reisinger, Gabriel Wittum:
Efficient Hierarchical Approximation of High-Dimensional Option Pricing Problems. SIAM J. Sci. Comput. 29(1): 440-458 (2007)
Coauthor Index
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