Thomas Kruse University of Duisburg-Essen

Research papers

On full history recursive multilevel Picard approximations and numerical approximations of high-dimensional nonlinear parabolic partial differential equations, with W. E, M. Hutzenthaler, A. Jentzen, 2016. arxiv
A verification theorem for optimal stopping problems with expectation constraints, with S. Ankirchner and M. Klein, 2016. hal
What's in a ball? Constructing and characterizing uncertainty sets, with J. Schneider and N. Schweizer, 2015. arxiv
Inverse Optimal Stopping, with P. Strack, 2015. arxiv
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
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