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Pricing High-Dimensional Bermudan Options with Hierarchical Tensor Formats

SIAM Journal on Financial Mathematics
2023-06-30 | Journal article
DOI: 10.1137/21M1402170
Contributors: Christian Bayer; Martin Eigel; Leon Sallandt; Philipp Trunschke
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Approximating Optimal feedback Controllers of Finite Horizon Control Problems Using Hierarchical Tensor Formats

SIAM Journal on Scientific Computing
2022-06 | Journal article
DOI: 10.1137/21M1412190
Contributors: Mathias Oster; Leon Sallandt; Reinhold Schneider
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Approximative Policy Iteration for Exit Time Feedback Control Problems Driven by Stochastic Differential Equations using Tensor Train Format

Multiscale Modeling & Simulation
2022-03 | Journal article
DOI: 10.1137/20M1372500
Contributors: Konstantin Fackeldey; Mathias Oster; Leon Sallandt; Reinhold Schneider
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