Leon Sallandt

Publication Activity (10 Years)

Years Active: 2021-2023
Publications (10 Years): 8

Top Topics

Policy Iteration

Stochastic Differential Equations

Robust Regression

Top Venues

Multiscale Model. Simul.

SIAM J. Financial Math.

Publications

Christian Bayer, Martin Eigel, Leon Sallandt, Philipp Trunschke
Pricing High-Dimensional Bermudan Options with Hierarchical Tensor Formats. SIAM J. Financial Math. 14 (2) (2023)
Lorenz Richter, Leon Sallandt, Nikolas Nüsken
From continuous-time formulations to discretization schemes: tensor trains and robust regression for BSDEs and parabolic PDEs. CoRR (2023)
Mathias Oster, Leon Sallandt, Reinhold Schneider
Approximating Optimal feedback Controllers of Finite Horizon Control Problems Using Hierarchical Tensor Formats. SIAM J. Sci. Comput. 44 (3) (2022)
Konstantin Fackeldey, Mathias Oster, Leon Sallandt, Reinhold Schneider
Approximative Policy Iteration for Exit Time Feedback Control Problems Driven by Stochastic Differential Equations using Tensor Train Format. Multiscale Model. Simul. 20 (1) (2022)
Lorenz Richter, Leon Sallandt, Nikolas Nüsken
Solving high-dimensional parabolic PDEs using the tensor train format. ICML (2021)
Mathias Oster, Leon Sallandt, Reinhold Schneider
Approximating optimal feedback controllers of finite horizon control problems using hierarchical tensor formats. CoRR (2021)
Lorenz Richter, Leon Sallandt, Nikolas Nüsken
Solving high-dimensional parabolic PDEs using the tensor train format. CoRR (2021)
Christian Bayer, Martin Eigel, Leon Sallandt, Philipp Trunschke
Pricing high-dimensional Bermudan options with hierarchical tensor formats. CoRR (2021)