Christoph Reisinger

Publication Activity (10 Years)

Years Active: 2007-2024
Publications (10 Years): 46

Top Topics

Markov Decision Process

Error Estimates

Numerical Scheme

Control Problems

Top Venues

SIAM J. Financial Math.

SIAM J. Numer. Anal.

SIAM J. Control. Optim.

Publications

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) (2024)
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) (2024)
Christa Cuchiero, Christoph Reisinger, Stefan Rigger
Optimal bailout strategies resulting from the drift controlled supercooled Stefan problem. Ann. Oper. Res. 336 (1-2) (2024)
Christa Cuchiero, Christoph Reisinger, Stefan Rigger
Correction to: Optimal bailout strategies resulting from the drift controlled supercooled Stefan problem. Ann. Oper. Res. 332 (1) (2024)
Alessandro Gnoatto, Athena Picarelli, Christoph Reisinger
Deep xVA Solver: A Neural Network-Based Counterparty Credit Risk Management Framework. SIAM J. Financial Math. 14 (1) (2023)
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) (2023)
Michael Giegrich, Roel Oomen, Christoph Reisinger
K-Nearest-Neighbor Resampling for Off-Policy Evaluation in Stochastic Control. CoRR (2023)
Christa Cuchiero, Christoph Reisinger, Stefan Rigger
Implicit and fully discrete approximation of the supercooled Stefan problem in the presence of blow-ups. CoRR (2022)
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 (2022)
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 (2022)
Michael Giegrich, Christoph Reisinger, Yufei Zhang
Convergence of policy gradient methods for finite-horizon stochastic linear-quadratic control problems. CoRR (2022)
Christoph Reisinger, Wolfgang Stockinger, Yufei Zhang
Linear convergence of a policy gradient method for finite horizon continuous time stochastic control problems. CoRR (2022)
Christoph Reisinger, Jonathan Tam
Markov decision processes with observation costs. CoRR (2022)
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) (2021)
Christoph Reisinger, Yufei Zhang
Regularity and Stability of Feedback Relaxed Controls. SIAM J. Control. Optim. 59 (5) (2021)
Cyril Bénézet, Jean-François Chassagneux, Christoph Reisinger
A Numerical Scheme for the Quantile Hedging Problem. SIAM J. Financial Math. 12 (1) (2021)
Kazufumi Ito, Christoph Reisinger, Yufei Zhang
-Superlinear Convergence for Stochastic Games on Domains. Found. Comput. Math. 21 (2) (2021)
Christoph Reisinger, Yufei Zhang
A penalty scheme and policy iteration for nonlocal HJB variational inequalities with monotone nonlinearities. Comput. Math. Appl. 93 (2021)
Xinshi Chen, Yufei Zhang, Christoph Reisinger, Le Song
Understanding Deep Architectures with Reasoning Layer. CoRR (2020)
Chaman Kumar, Neelima, Christoph Reisinger, Wolfgang Stockinger
Well-posedness and tamed schemes for McKean-Vlasov Equations with Common Noise. CoRR (2020)
Jianhai Bao, Christoph Reisinger, Panpan Ren, Wolfgang Stockinger
First order convergence of Milstein schemes for McKean equations and interacting particle systems. CoRR (2020)
Christoph Reisinger, Yufei Zhang
Regularity and stability of feedback relaxed controls. CoRR (2020)
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 (2020)
Athena Picarelli, Christoph Reisinger
error estimates for some approximation schemes for optimal investment problems. Comput. Math. Appl. 79 (7) (2020)
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 (2020)
Christoph Reisinger, Yufei Zhang
Error Estimates of Penalty Schemes for Quasi-Variational Inequalities Arising from Impulse Control Problems. SIAM J. Control. Optim. 58 (1) (2020)
Athena Picarelli, Christoph Reisinger
Probabilistic error analysis for some approximation schemes to optimal control problems. Syst. Control. Lett. 137 (2020)
Jianhai Bao, Christoph Reisinger, Panpan Ren, Wolfgang Stockinger
Milstein schemes for delay McKean equations and interacting particle systems. CoRR (2020)
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 (2020)
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) (2020)
Christoph Reisinger, Wolfgang Stockinger, Yufei Zhang
A posteriori error estimates for fully coupled McKean-Vlasov forward-backward SDEs. CoRR (2020)
Andrei S. Cozma, Christoph Reisinger
Simulation of Conditional Expectations Under Fast Mean-Reverting Stochastic Volatility Models. MCQMC (2020)
Christoph Reisinger, Wolfgang Stockinger, Yufei Zhang
Regularity and time discretization of extended mean field control problems: a McKean-Vlasov FBSDE approach. CoRR (2020)
Xinshi Chen, Yufei Zhang, Christoph Reisinger, Le Song
Understanding Deep Architecture with Reasoning Layer. NeurIPS (2020)
Gunther Leobacher, Christoph Reisinger, Wolfgang Stockinger
Well-posedness and numerical schemes for McKean-Vlasov equations and interacting particle systems with discontinuous drift. CoRR (2020)
Andrei Cozma, Christoph Reisinger
Simulation of conditional expectations under fast mean-reverting stochastic volatility models. CoRR (2020)
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) (2019)
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 (2019)
Christoph Reisinger, Yufei Zhang
A Penalty Scheme for Monotone Systems with Interconnected Obstacles: Convergence and Error Estimates. SIAM J. Numer. Anal. 57 (4) (2019)
Kazufumi Ito, Christoph Reisinger, Yufei Zhang
-superlinear convergence for stochastic games on domains. CoRR (2019)
Vadim Kaushansky, Alexander Lipton, Christoph Reisinger
Numerical analysis of an extended structural default model with mutual liabilities and jump risk. J. Comput. Sci. 24 (2018)
Christoph Reisinger
The non-locality of Markov chain approximations to two-dimensional diffusions. Math. Comput. Simul. 143 (2018)
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) (2018)
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) (2018)
Christoph Reisinger, Endre Süli, Alan Whitley
A Partial Fourier Transform Method for a Class of Hypoelliptic Kolmogorov Equations. SIAM J. Numer. Anal. 55 (4) (2017)
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) (2017)
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) (2013)
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) (2012)
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) (2012)
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) (2012)
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) (2012)
N. Bush, Ben M. Hambly, Helen Haworth, L. Jin, Christoph Reisinger
Stochastic Evolution Equations in Portfolio Credit Modelling. SIAM J. Financial Math. 2 (1) (2011)
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) (2011)
Christoph Reisinger, Gabriel Wittum
Efficient Hierarchical Approximation of High-Dimensional Option Pricing Problems. SIAM J. Sci. Comput. 29 (1) (2007)