Publikationen Kruse

T. Kruse and M. Urusov, "Approximating exit times of continuous Markov processes", Discrete and Continuous Dynamical Systems-B, vol. 25, no. 9, pp. 3631–3650, 2020. American Institute of Mathematical Sciences.

DOI: 10.3934/dcdsb.2020076

S. Ankirchner, N. Kazi-Tani, M. Klein and T. Kruse, "Stopping with expectation constraints: 3 points suffice", Electronic Journal of Probability, vol. 24, pp. 1–16, 2019. Institute of Mathematical Statistics and Bernoulli Society.

DOI: 10.1214/19-EJP309

T. Kruse, J. Schneider and N. Schweizer, "The joint impact of F-divergences and reference models on the contents of uncertainty sets", Operations Research, vol. 67, no. 2, pp. 428–435, 2019. INFORMS.

DOI: 10.1287/opre.2018.1807

S. Ankirchner, T. Kruse and M. Urusov, "Wasserstein convergence rates for random bit approximations of continuous Markov processes", Journal of Mathematical Analysis and Applications, vol. 493, no. 2, pp. 124543, 2019. Academic Press.

DOI: 10.1016/j.jmaa.2020.124543

W. E, M. Hutzenthaler, A. Jentzen and T. Kruse, "On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations", Journal of Scientific Computing, vol. 79, no. 3, pp. 1534–1571, 2019. Springer New York.

DOI: 10.1007/s10915-018-00903-0

A. D. Sezer, T. Kruse and A. Popier, "Backward stochastic differential equations with non-Markovian singular terminal values", Stochastics and Dynamics, vol. 19, no. 02, pp. 1950006, 2019. World Scientific Publishing.

DOI: 10.1142/S0219493719500060

T. Kruse and P. Strack, "An inverse optimal stopping problem for diffusion processes", Mathematics of Operations Research, vol. 44, no. 2, pp. 423–439, 2019. INFORMS.

DOI: 10.1287/moor.2018.0930

S. Ankirchner, M. Klein and T. Kruse, "A verification theorem for optimal stopping problems with expectation constraints", Applied Mathematics & Optimization, vol. 79, pp. 145–177, 2019. Springer New York.

DOI: 10.1007/s00245-017-9424-2

S. Ankirchner, T. Kruse, M. Urusov and others, "A functional limit theorem for irregular SDEs", Annales de l'Institut Henri Poincaré, Probabilités et Statistiques, vol. 53, no. 3, pp. 1438–1457, 2017. Institute of Mathematical Statistics.

DOI: 10.1214/16-AIHP760

T. Kruse and A. Popier, "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’", Stochastics, vol. 89, no. 8, pp. 1201–1227, 2017. Taylor & Francis.

DOI: 10.1080/17442508.2017.1290095

S. Ankirchner, T. Kruse and M. Urusov, "WLLN for arrays of nonnegative random variables", Statistics & Probability Letters, vol. 122, pp. 73–78, 2017. Elsevier.

DOI: 10.1016/j.spl.2016.10.030

T. Kruse and A. Popier, "BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration", Stochastics, vol. 88, no. 4, pp. 491–539, 2016. Taylor & Francis.

DOI: 10.1080/17442508.2015.1090990

T. Kruse and A. Popier, "Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting", Stochastic Processes and their Applications, vol. 126, no. 9, pp. 2554–2592, 2016. Elsevier.

DOI: 10.1016/j.spa.2016.02.010

S. Ankirchner, T. Kruse and M. Urusov, "Numerical approximation of irregular SDEs via Skorokhod embeddings", Journal of Mathematical Analysis and Applications, vol. 440, no. 2, pp. 692–715, 2016. Elsevier.

DOI: 10.1016/j.jmaa.2016.03.055

S. Ankirchner and T. Kruse, "Optimal position targeting with stochastic linear-quadratic costs", Banach Center Publications, vol. 104, no. 1, pp. 9–24, 2015. Institute of Mathematics, Polish Academy of Sciences.

DOI: 10.4064/bc104-0-1

T. Kruse and P. Strack, "Optimal stopping with private information", Journal of Economic Theory, vol. 159, pp. 702–727, 2015. Elsevier.

DOI: 10.1016/j.jet.2015.03.001

S. Ankirchner, M. Jeanblanc and T. Kruse, "BSDEs with singular terminal condition and a control problem with constraints", SIAM Journal on Control and Optimization, vol. 52, no. 2, pp. 893–913, 2014. Society for Industrial and Applied Mathematics.

DOI: 10.1137/130923518

S. Ankirchner, P. Kratz and T. Kruse, "Hedging forward positions: Basis risk versus liquidity costs", SIAM Journal on Financial Mathematics, vol. 4, no. 1, pp. 668–696, 2013. Society for Industrial and Applied Mathematics.

DOI: 10.1137/130907045

S. Ankirchner and T. Kruse, "Optimal trade execution under price-sensitive risk preferences", Quantitative Finance, vol. 13, no. 9, pp. 1395–1409, 2013. Taylor & Francis.

DOI: 10.1080/14697688.2012.762613

Publikationen Prof. Dr. Thomas Kruse