Thomas Kruse University of Duisburg-Essen

Submitted Papers

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
What's in a ball? Constructing and characterizing uncertainty sets, with J. Schneider and N. Schweizer, 2016. arxiv
An inverse optimal stopping problem for diffusions, with P. Strack, 2016. arxiv

Publications

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, To appear in Statistics and Probability Letters, 2016.
A functional limit theorem for irregular SDEs, with S. Ankirchner and M. Urusov, To appear in Annales de l'Institut Henri Poincaré (B) Probability and Statistics, 2016. arxiv
Numerical approximation of irregular SDEs via Skorokhod embeddings, with S. Ankirchner and M. Urusov, To appear in Journal of Mathematical Analysis and Applications, 2016. HAL
Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting, with A. Popier, To appear in Stochastic Processes and their Applications, 2016. 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, to appear in Stochastics, 2017. HAL
BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration, with A. Popier, Stochastics, 88(4):491-539, 2016. arxiv
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