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2020 – today
- 2024
[j21]Denis Belomestny
, John Schoenmakers:
Primal-Dual Regression Approach for Markov Decision Processes with General State and Action Spaces. SIAM J. Control. Optim. 62(1): 650-679 (2024)- [i5]Denis Belomestny, John Schoenmakers:
Weighted mesh algorithms for general Markov decision processes: Convergence and tractability. CoRR abs/2407.00388 (2024) - 2023
- [j20]Denis Belomestny, Christian Bender, John Schoenmakers:
Solving Optimal Stopping Problems via Randomization and Empirical Dual Optimization. Math. Oper. Res. 48(3): 1454-1480 (2023) - 2022
- [i4]Denis Belomestny, John Schoenmakers:
Primal-dual regression approach for Markov decision processes with general state and action space. CoRR abs/2210.00258 (2022) - 2021
- [j19]Christian Bayer, Denis Belomestny, Paul Hager, Paolo Pigato, John Schoenmakers:
Randomized Optimal Stopping Algorithms and Their Convergence Analysis. SIAM J. Financial Math. 12(3): 1201-1225 (2021) - 2020
- [j18]Denis Belomestny, John Schoenmakers:
Optimal Stopping of McKean-Vlasov Diffusions via Regression on Particle Systems. SIAM J. Control. Optim. 58(1): 529-550 (2020) - [i3]Christian Bayer, Denis Belomestny, Paul Hager, Paolo Pigato, John Schoenmakers:
Randomized optimal stopping algorithms and their convergence analysis. CoRR abs/2002.00816 (2020) - [i2]Christian Bayer, Denis Belomestny, Paul Hager, Paolo Pigato, John Schoenmakers, Vladimir G. Spokoiny:
Reinforced optimal control. CoRR abs/2011.12382 (2020)
2010 – 2019
- 2019
- [i1]Denis Belomestny, Maxim Kaledin, John Schoenmakers:
Semi-tractability of optimal stopping problems via a weighted stochastic mesh algorithm. CoRR abs/1906.09431 (2019) - 2018
- [j17]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): 1177-1209 (2018) - [j16]Denis Belomestny, John Schoenmakers:
Projected Particle Methods for Solving McKean-Vlasov Stochastic Differential Equations. SIAM J. Numer. Anal. 56(6): 3169-3195 (2018) - 2017
- [j15]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) - 2016
- [j14]Christian Bayer, Peter K. Friz, Sebastian Riedel, John Schoenmakers:
From Rough Path Estimates to Multilevel Monte Carlo. SIAM J. Numer. Anal. 54(3): 1449-1483 (2016) - 2015
- [j13]Denis Belomestny, Mark S. Joshi, John Schoenmakers:
Addendum to: Multilevel dual approach for pricing American style derivatives. Finance Stochastics 19(3): 681-684 (2015) - [j12]Denis Belomestny, Marcel Ladkau, John Schoenmakers:
Multilevel Simulation Based Policy Iteration for Optimal Stopping-Convergence and Complexity. SIAM/ASA J. Uncertain. Quantification 3(1): 460-483 (2015) - [j11]Zorana Grbac, Antonis Papapantoleon, John Schoenmakers, David Skovmand:
Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration. SIAM J. Financial Math. 6(1): 984-1025 (2015) - 2013
- [j10]Denis Belomestny, John Schoenmakers, Fabian Dickmann:
Multilevel dual approach for pricing American style derivatives. Finance Stochastics 17(4): 717-742 (2013) - [j9]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): 86-116 (2013) - 2012
- [j8]John Schoenmakers:
A pure martingale dual for multiple stopping. Finance Stochastics 16(2): 319-334 (2012) - [c1]Denis Belomestny, Marcel Ladkau, John Schoenmakers:
Tight bounds for American options via multilevel Monte Carlo. WSC 2012: 31:1-31:8 - 2010
- [j7]Denis Belomestny, Anastasia Kolodko, John Schoenmakers:
Regression Methods for Stochastic Control Problems and Their Convergence Analysis. SIAM J. Control. Optim. 48(5): 3562-3588 (2010) - [j6]Volker Krätschmer, John Schoenmakers:
Representations for Optimal Stopping under Dynamic Monetary Utility Functionals. SIAM J. Financial Math. 1(1): 811-832 (2010)
2000 – 2009
- 2009
- [j5]Denis Belomestny, Stanley Mathew, John Schoenmakers:
Multiple stochastic volatility extension of the Libor market model and its implementation. Monte Carlo Methods Appl. 15(4): 285-310 (2009) - 2008
- [j4]Jörg Kampen, Anastasia Kolodko, John Schoenmakers:
Monte Carlo Greeks for Financial Products via Approximative Transition Densities. SIAM J. Sci. Comput. 31(1): 1-22 (2008) - 2006
- [j3]Anastasia Kolodko, John Schoenmakers:
Iterative construction of the optimal Bermudan stopping time. Finance Stochastics 10(1): 27-49 (2006) - [j2]Christian Bender, Anastasia Kolodko, John Schoenmakers:
Policy iteration for american options: overview. Monte Carlo Methods Appl. 12(5): 347-362 (2006) - 2004
- [j1]Anastasia Kolodko, John Schoenmakers:
Upper Bounds for Bermudan Style Derivatives. Monte Carlo Methods Appl. 10(3-4): 331-343 (2004)
Coauthor Index
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