Thomas Kruse University of Duisburg-Essen

Submitted Papers

Overcoming the curse of dimensionality in the numerical approximation of semilinear parabolic partial differential equations, with M. Hutzenthaler, A. Jentzen, T. Nguyen, P. von Wurstemberger, 2018. arxiv
Multilevel Picard approximations of high-dimensional semilinear parabolic differential equations with gradient-dependent nonlinearities, with M. Hutzenthaler, 2017. arxiv
On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations, with W. E, M. Hutzenthaler, A. Jentzen, 2017. arxiv
Stopping with expectation constraints: 3 points suffice, with S. Ankirchner, N. Kazi-Tani, and M. Klein, 2017. hal
Optimal position targeting via decoupling fields, with S. Ankirchner, A. Fromm and A. Popier, 2017. hal
Linear scaling algorithms for solving high-dimensional nonlinear parabolic differential equations, with W. E, M. Hutzenthaler, A. Jentzen, 2016. arxiv


The Joint Impact of F-Divergences and Reference Models on the Contents of Uncertainty Sets, with J. Schneider and N. Schweizer, To appear in Operations Research, 2018. SSRN
An inverse optimal stopping problem for diffusions, with P. Strack, To appear in Mathematics of Operations Research, 2018. arxiv
Backward Stochastic Differential Equations with Nonmarkovian Singular Terminal Values, with D. Sezer and A. Popier, To appear in Stochastics and Dynamics, 2018. hal
A verification theorem for optimal stopping problems with expectation constraints, with S. Ankirchner and M. Klein, To appear in Applied Mathematics and Optimization, 2017. hal
WLLN for arrays of nonnegative random variables, with S. Ankirchner and M. Urusov, Statistics and Probability Letters, 122:73-78, 2017.
A functional limit theorem for irregular SDEs, with S. Ankirchner and M. Urusov, Annales de l'Institut Henri Poincaré (B) Probability and Statistics, 53(3):1438-1457, 2017. arxiv
Numerical approximation of irregular SDEs via Skorokhod embeddings, with S. Ankirchner and M. Urusov, Journal of Mathematical Analysis and Applications, 440(2):692-715, 2016. HAL
Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting, with A. Popier, Stochastic Processes and their Applications, 126(9):2554-2592, 2016. arxiv
BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration, with A. Popier, Stochastics, 88(4):491-539, 2016. Please note that in the case p<2 and if the driver depends on the integrand with respect to the Poisson measure there is a mistake in the proof of Proposition 8. This is corrected in the paper below: arxiv
Lp-solution for BSDEs with jumps in the case p<2. Corrections to the paper "BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration", with A. Popier, Stochastics, 89(8):1201-1227, 2017. HAL
Optimal Stopping with Private Information, with P. Strack, Journal of Economic Theory, 159:702-727,2015. SSRN
Optimal position targeting with stochastic linear-quadratic costs, with S. Ankirchner, Banach Center Publications, 104:9-24, 2015. pdf
BSDEs with singular terminal condition and control problems with a constraint, with S. Ankirchner and M. Jeanblanc, SIAM Journal on Control and Optimization, 52(2):893–913, 2014. arxiv
Optimal Trade Execution Under Price-Sensitive Risk Preferences, with S. Ankirchner, Quantitative Finance, 13(9):1395–1409, 2013. SSRN
Hedging Forward Positions: Basis Risk Versus Liquidity Costs, with S. Ankirchner and P. Kratz, SIAM Journal on Financial Mathematics, 4:1, 668-696, 2013. SSRN