John Schoenmakers

Publication Activity (10 Years)

Years Active: 2004-2024
Publications (10 Years): 13

Top Topics

Markov Decision Process

Policy Iteration

Brownian Motion

Infinite Horizon

Top Venues

SIAM J. Numer. Anal.

Math. Oper. Res.

SIAM J. Financial Math.

Publications

Denis Belomestny, John Schoenmakers
Primal-Dual Regression Approach for Markov Decision Processes with General State and Action Spaces. SIAM J. Control. Optim. 62 (1) (2024)
Denis Belomestny, John Schoenmakers
Weighted mesh algorithms for general Markov decision processes: Convergence and tractability. CoRR (2024)
Denis Belomestny, Christian Bender, John Schoenmakers
Solving Optimal Stopping Problems via Randomization and Empirical Dual Optimization. Math. Oper. Res. 48 (3) (2023)
Denis Belomestny, John Schoenmakers
Primal-dual regression approach for Markov decision processes with general state and action space. CoRR (2022)
Christian Bayer, Denis Belomestny, Paul Hager, Paolo Pigato, John Schoenmakers
Randomized Optimal Stopping Algorithms and Their Convergence Analysis. SIAM J. Financial Math. 12 (3) (2021)
Christian Bayer, Denis Belomestny, Paul Hager, Paolo Pigato, John Schoenmakers
Randomized optimal stopping algorithms and their convergence analysis. CoRR (2020)
Denis Belomestny, John Schoenmakers
Optimal Stopping of McKean-Vlasov Diffusions via Regression on Particle Systems. SIAM J. Control. Optim. 58 (1) (2020)
Christian Bayer, Denis Belomestny, Paul Hager, Paolo Pigato, John Schoenmakers, Vladimir G. Spokoiny
Reinforced optimal control. CoRR (2020)
Denis Belomestny, M. Kaledin, John Schoenmakers
Semi-tractability of optimal stopping problems via a weighted stochastic mesh algorithm. CoRR (2019)
Denis Belomestny, John Schoenmakers
Projected Particle Methods for Solving McKean-Vlasov Stochastic Differential Equations. SIAM J. Numer. Anal. 56 (6) (2018)
Volker Krätschmer, Marcel Ladkau, Roger J. A. Laeven, John Schoenmakers, Mitja Stadje
Optimal Stopping Under Uncertainty in Drift and Jump Intensity. Math. Oper. Res. 43 (4) (2018)
Felix Anker, Christian Bayer, Martin Eigel, Marcel Ladkau, Johannes Neumann, John Schoenmakers
SDE Based Regression for Linear Random PDEs. SIAM J. Sci. Comput. 39 (3) (2017)
Christian Bayer, Peter K. Friz, Sebastian Riedel, John Schoenmakers
From Rough Path Estimates to Multilevel Monte Carlo. SIAM J. Numer. Anal. 54 (3) (2016)
Denis Belomestny, Marcel Ladkau, John Schoenmakers
Multilevel Simulation Based Policy Iteration for Optimal Stopping-Convergence and Complexity. SIAM/ASA J. Uncertain. Quantification 3 (1) (2015)
Denis Belomestny, Mark S. Joshi, John Schoenmakers
Addendum to: Multilevel dual approach for pricing American style derivatives. Finance Stochastics 19 (3) (2015)
Zorana Grbac, Antonis Papapantoleon, John Schoenmakers, David Skovmand
Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration. SIAM J. Financial Math. 6 (1) (2015)
John Schoenmakers, Jianing Zhang, Junbo Huang
Optimal Dual Martingales, Their Analysis, and Application to New Algorithms for Bermudan Products. SIAM J. Financial Math. 4 (1) (2013)
Denis Belomestny, John Schoenmakers, Fabian Dickmann
Multilevel dual approach for pricing American style derivatives. Finance Stochastics 17 (4) (2013)
Denis Belomestny, Marcel Ladkau, John Schoenmakers
Tight bounds for American options via multilevel Monte Carlo. WSC (2012)
John Schoenmakers
A pure martingale dual for multiple stopping. Finance Stochastics 16 (2) (2012)
Volker Krätschmer, John Schoenmakers
Representations for Optimal Stopping under Dynamic Monetary Utility Functionals. SIAM J. Financial Math. 1 (1) (2010)
Denis Belomestny, Anastasia Kolodko, John Schoenmakers
Regression Methods for Stochastic Control Problems and Their Convergence Analysis. SIAM J. Control. Optim. 48 (5) (2010)
Denis Belomestny, Stanley Mathew, John Schoenmakers
Multiple stochastic volatility extension of the Libor market model and its implementation. Monte Carlo Methods Appl. 15 (4) (2009)
Jörg Kampen, Anastasia Kolodko, John Schoenmakers
Monte Carlo Greeks for Financial Products via Approximative Transition Densities. SIAM J. Sci. Comput. 31 (1) (2008)
Christian Bender, Anastasia Kolodko, John Schoenmakers
Policy iteration for american options: overview. Monte Carlo Methods Appl. 12 (5) (2006)
Anastasia Kolodko, John Schoenmakers
Iterative construction of the optimal Bermudan stopping time. Finance Stochastics 10 (1) (2006)
Anastasia Kolodko, John Schoenmakers
Upper Bounds for Bermudan Style Derivatives. Monte Carlo Methods Appl. 10 (3-4) (2004)