WIAS Preprint List: Redmann, Martin
- 2708: Redmann, Martin; Riedel, Sebastian
Runge--Kutta methods for rough differential equations
- 2706: Redmann, Martin; Bayer, Christian; Goyal, Pawan
Low-dimensional approximations of high-dimensional asset price models
Appeared in: SIAM J. Financial Math., 12 (2021), pp. 1--28, DOI 10.1137/20M1325666 . - 2532: Bayer, Christian; Redmann, Martin; Schoenmakers, John G. M.
Dynamic programming for optimal stopping via pseudo-regression
Appeared in: Quant. Finance, (2020), published online 01.09.2020, DOI 10.1080/14697688.2020.1780299 . - 2506: Bayer, Christian; Belomestny, Denis; Redmann, Martin; Riedel, Sebastian; Schoenmakers, John G. M.
Solving linear parabolic rough partial differential equations
Appeared in: J. Math. Anal. Appl., 490 (2020), published online on 15.05.2020, DOI 10.1016/j.jmaa.2020.124236 . - 2503: Redmann, Martin
Energy estimates and model order reduction for stochastic bilinear systems
Appeared in: Internat. J. Control, 93 (2020), pp. 1954--1963 (published online on 08.11.2018), DOI 10.1080/00207179.2018.1538568 . - 2441: Goyal, Pawan; Redmann, Martin
Towards time-limited $H_2$-optimal model order reduction
Appeared in: Appl. Math. Comput., 355 (2019), pp. 184--197, DOI 10.1016/j.amc.2019.02.065 . - 2440: Redmann, Martin; Kürschner, Patrick
An $H_2$-type error bound for time-limited balanced truncation
Appeared in: Systems Control Lett., 121 (2018), pp. 1--6, DOI 10.1016/j.sysconle.2018.08.004 . - 2425: Redmann, Martin
Type II balanced truncation for deterministic bilinear control systems
Appeared in: SIAM J. Control Optim., 56 (2018), pp. 2593--2612, DOI 10.1137/17M1147962 . - 2398: Redmann, Martin
Type II singular perturbation approximation for linear systems with Lévy noise
Appeared in: SIAM J. Control Optim., 56 (2018), pp. 2120--2158, DOI 10.1137/17M113160X . - 2339: Redmann, Martin; Freitag, Melina A.
Balanced truncation and singular perturbation approximation model order reduction for stochastically controlled linear systems
Appeared in: J. Comput. Dyn., 5 (2018), pp. 33--59, DOI 10.3934/jcd.2018002 .