WIAS Preprint List: Schoenmakers, John G. M.

• 2957: Belomestny, Denis; Schoenmakers, John G. M.
  Primal-dual regression approach for Markov decision processes with general state and action space
  
• 2921: Bayer, Christian; Belomestny, Denis; Butkovsky, Oleg; Schoenmakers, John G. M.
  RKHS regularization of singular local stochastic volatility McKean--Vlasov models
  
• 2884: Belomestny, Denis; Bender, Christian; Schoenmakers, John G. M.
  Solving optimal stopping problems via randomization and empirical dual optimization
  Appeared in: Math. Oper. Res., (2022), published online on 14.09.2022, DOI 10.1287/moor.2022.1306 .
• 2810: Belomestny, Denis; Schoenmakers, John G. M.
  From optimal martingales to randomized dual optimal stopping
  Appeared in: Quant. Finance, (2023), published online on 19.06.2023, DOI 10.1080/14697688.2023.2223242 .
• 2792: Bayer, Christian; Belomestny, Denis; Hager, Paul; Pigato, Paolo; Schoenmakers, John G. M.; Spokoiny, Vladimir
  Reinforced optimal control
  Appeared in: Comm. Math. Sci., 20 (2022), pp. 1951--1978, DOI 10.4310/CMS.2022.v20.n7.a7 .
• 2790: Bayer, Christian; Hager, Paul; Riedel, Sebastian; Schoenmakers, John G. M.
  Optimal stopping with signatures
  Appeared in: Ann. Appl. Probab., 33 (2023), pp. 238--273, DOI 10.1214/22-AAP1814 .
• 2728: Laeven, Roger J. A.; Schoenmakers, John G. M.; Schweizer, Nikolaus F. F.; Stadje, Mitja
  Robust multiple stopping -- A path-wise duality approach
  
• 2697: Bayer, Christian; Belomestny, Denis; Hager, Paul; Pigato, Paolo; Schoenmakers, John G. M.
  Randomized optimal stopping algorithms and their convergence analysis
  Appeared in: SIAM J. Financial Math., 12 (2021), pp. 1201--1225, DOI 10.1137/20M1373876 .
• 2610: Belomestny, Denis; Kaledin, Maxim; Schoenmakers, John G. M.
  Semi-tractability of optimal stopping problems via a weighted stochastic mesh algorithm
  Appeared in: Math. Finance, 30 (2020), pp. 1591--1616, DOI 10.1111/mafi.12271 .
• 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 .
• 2530: Belomestny, Denis; Schoenmakers, John G. M.; Spokoiny, Vladimir; Tavyrikov, Yuri
  Optimal stopping via deeply boosted backward regression
  Appeared in: Comm. Math. Sci., 18 (2020), pp. 109--121, with different title “Optimal stopping via reinforced regression” and different 4th author “Bakhyt Zharkynbay ", DOI 10.4310/CMS.2020.v18.n1.a5 .
• 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 .
• 2464: Belomestny, Denis; Schoenmakers, John G. M.
  Regression on particle systems connected to mean-field SDEs with applications
  Appeared in: SIAM J. Control Optim., 58 (2020), pp. 529--550; changed title: Optimal stopping of McKean-Vlasov diffusions via regression on particle systems, DOI 10.1137/18M1195590 .
• 2341: Belomestny, Denis; Schoenmakers, John G. M.
  Projected particle methods for solving McKean--Vlaslov equations
  Appeared in: SIAM J. Numer. Anal., 56 (2018), pp. 3169--3195, DOI 10.1137/17M1111024 .
• 2330: Hildebrand, Roland; Schoenmakers, John G. M.; Zhang, Jianing; Dickmann, Fabian
  Regression based duality approach to optimal control with application to hydro electricity storage
  
• 2200: Anker, Felix; Bayer, Christian; Eigel, Martin; Neumann, Johannes; Schoenmakers, John G. M.
  Adaptive SDE based interpolation for random PDEs
  Appeared in: Int. J. Uncertain. Quantif., 7 (2017), pp. 189--205; changed title: A fully adaptive interpolated stochastic sampling method for linear random PDEs
• 2192: Anker, Felix; Bayer, Christian; Eigel, Martin; Ladkau, Marcel; Neumann, Johannes; Schoenmakers, John G. M.
  SDE based regression for random PDEs
  Appeared in: SIAM J. Sci. Comput., 39 (2017) pp. A1168--A1200.
• 2191: Bayer, Christian; Schoenmakers, John G. M.
  Option pricing in affine generalized Merton models
  Appeared in: J.G.M. Schoenmakers, Ch. Bayer, Option pricing in affine generalized Merton models, J. Kallsen, A. Papapantoleon , eds., Springer Proceedings in Mathematics & Statistics, Springer International Publishing , Switzerland, 2016, pp. 219--239
• 2186: Belomestny, Denis; Mai, Hilmar; Schoenmakers, John G. M.
  Generalized Post--Widder inversion formula with application to statistics
  Appeared in: J. Math. Anal. Appl., 455 (2017) pp. 89--104.
• 2113: Milstein, Grigori N.; Schoenmakers, John G. M.
  Uniform approximation of the CIR process via exact simulation at random times
  Appeared in: Adv. Appl. Probab., 48 (2016) pp. 1095--1116.
• 2102: Krätschmer, Volker; Ladkau, Marcel; Laeven, Roger J. A.; Schoenmakers, John G. M.; Stadje, Mitja
  Robust optimal stopping
  Appeared in: Math. Oper. Res., 43 (2018), pp. 1177--1209, DOI 10.1287/moor.2017.0899 .
• 2043: Belomestny, Denis; Hildebrand, Roland; Schoenmakers, John G. M.
  Optimal stopping via pathwise dual empirical maximisation
  Appeared in: Appl. Math. Optim., published online on 8.11.2017, DOI 10.1007/s00245-017-9454-9 .
• 1960: Belomestny, Denis; Schoenmakers, John G. M.
  Statistical Skorohod embedding problem and its generalizations
  Appeared in: Stochastic Process. Appl., Vol. 126, 7, (2016) pp. 2092--2122 under the new title: Statistical inference for time-changed Lévy processes via Mellin transform approach.
• 1951: Grbac, Zorana; Papapantoleon, Antonis; Schoenmakers, John G. M.; Skovmand, David
  Affine LIBOR models with multiple curves: Theory, examples and calibration
  Appeared in: SIAM Journal on Financial Mathematics, 6 (2015), pp. 984--1025
• 1907: Bayer, Christian; Mai, Hilmar; Schoenmakers, John G. M.
  Forward-reverse EM algorithm for Markov chains
  Appeared in: Adv. Appl. Probab., 2 (2018), pp. 621--644 , under the new title: Forward-reverse expectation-maximization algorithm for Markov chains: Convergence and numerical analysis, DOI 10.1017/apr.2018.27 .
• 1787: Bayer, Christian; Friz, Peter; Riedel, Sebastian; Schoenmakers, John G. M.
  From rough path estimates to multilevel Monte Carlo
  Appeared in: SIAM J. Numer. Anal., 54 (2016) pp. 1449--1483.
• 1764: Bayer, Christian; Schoenmakers, John G. M.
  Simulation of conditional diffusions via forward-reverse stochastic representations
  Appeared in: Ann. Appl. Probab., 24 (2014) pp. 1994--2032
• 1763: Milstein, Grigori N.; Schoenmakers, John G. M.
  Path-wise approximation of the Cox--Ingersoll--Ross process
  Appeared in: Adv. Appl. Probab., 1132--1156 (2015) pp. .
• 1721: Belomestny, Denis; Ladkau, Marcel; Schoenmakers, John G. M.
  Simulation based policy iteration for American style derivatives --- A multilevel approach
  Appeared in: SIAM/ASA Journal on Uncertainty Qualification, 3 (2015) pp. 460--483.
• 1702: Ladkau, Marcel; Schoenmakers, John G. M.; Zhang, Jianing
  Libor model with expiry-wise stochastic volatility and displacement
  Appeared in: Int. J. Portfolio Analysis and Management, 1 (2013) pp. 224--249.
• 1666: Balder, Sven; Mahayni, Antje; Schoenmakers, John G. M.
  Primal-dual linear Monte Carlo algorithm for multiple stopping --- An application to flexible caps
  Appeared in: Quant. Finance, 13 (2013) pp. 1003--1013.
• 1665: Bender, Christian; Schoenmakers, John G. M.; Zhang, Jianing
  Dual representations for general multiple stopping problems
  Appeared in: Math. Finance, 25 (2015) pp. 339--370.
• 1647: Belomestny, Denis; Schoenmakers, John G. M.
  Multilevel dual approach for pricing American style derivatives
  Appeared in: Finance Stoch., 17 (2013) pp. 717-742.
• 1614: Papapantoleon, Antonis; Schoenmakers, John G. M.; Skovmand, David
  Efficient and accurate log-Lévy approximations to Lévy driven LIBOR models
  Appeared in: J. Comput. Finance, 15 (2012) pp. 3--44.
• 1574: Schoenmakers, John G. M.; Huang, Junbo
  Optimal dual martingales and their stability; fast evaluation of Bermudan products via dual backward regression
  Appeared in: SIAM J. Financial Math., 4 (2013) pp. 86--116 as: Optimal dual martingales, their analysis and application to new algorithms for Bermudan products, by J.G.M Schoenmakers, J. Zhang, J. Huang
• 1534: Mahayni, Antje; Schoenmakers, John G. M.
  Minimum return guarantees with funds switching rights --- An optimal stopping problem
  Appeared in: J. Econom. Dynam. Control, 35 (2012) pp. 1880--1897
• 1456: Krätschmer, Volker; Schoenmakers, John G. M.
  Representations for optimal stopping under dynamic monetary utility functionals
  Appeared in: SIAM J. Financial Math., 1 (2010) pp. 811--832.
• 1438: Schoenmakers, John G. M.
  The real multiple dual
  Appeared in: Finance and Stochastics, 16 (2012) pp. 319-334 as: A pure martingale dual for multiple stopping
• 1392: Belomestny, Denis; Kolodko, Anastasia; Schoenmakers, John G. M.
  Regression methods for stochastic control problems and their convergence analysis
  Appeared in: SIAM J. Control Optim., 48 (2010) pp. 3562--3588.
• 1386: Belomestny, Denis; Kolodko, Anastasia; Schoenmakers, John G. M.
  Pricing CMS spreads in the Libor market model
  Appeared in: Int. J. Theor. Appl. Finance, 13 (2010) pp. 45--62.
• 1297: Belomestny, Denis; Kampen, Jörg; Schoenmakers, John G. M.
  Holomorphic transforms with application to affine processes
  Appeared in: Journal of Functional Analysis, Vol. 257, 4, (2009) pp. 1222-1250
• 1276: Belomestny, Denis; Mathew, Stanley; Schoenmakers, John G. M.
  A stochastic volatility Libor model and its robust calibration
  Appeared in: Monte Carlo Methods Appl., 15 (2009) pp. 285-310 as "Multiple stochastic volatility extension of the Libor market model and its implementation".
• 1247: Belomestny, Denis; Milstein, Grigori N.; Schoenmakers, John G. M.
  Sensitivities for Bermudan options by regression methods
  Appeared in: Decis. Econ. Finance, 33 (2010) pp. 117--138.
• 1208: Kampen, Jörg; Kolodko, Anastasia; Schoenmakers, John G. M.
  Monte Carlo Greeks for financial products via approximative Greenian kernels
  Appeared in: SIAM J. Sci. Comput. Vol. 31, 1, pp. 1-22, 2008 under new title: Monte Carlo Greeks for financial products via approximative transition densities
• 1186: Belomestny, Denis; Bender, Christian; Schoenmakers, John G. M.
  True upper bounds for Bermudan products via non-nested Monte Carlo
  Appeared in: Math. Finance, 19 (2009) pp. 53--71.
• 1125: Milstein, Grigori N.; Schoenmakers, John G. M.; Spokoiny, Vladimir
  Forward and reverse representations for Markov chains
  Appeared in: Stochastic Process. Appl., 117 (2007) pp. 1052--1075.
• 1113: Belomestny, Denis; Schoenmakers, John G. M.
  A jump-diffusion Libor model and its robust calibration
  Appeared in: Quant. Finance, 11 (2011) pp. 529--546 .
• 1088: Spivakovskaya, Daria; Heemink, Arnold W.; Schoenmakers, John G. M.
  Two-particle models for the estimation of the mean and standard deviation of concentrations in coastal waters
  Appeared in: Stochastic Environmental Research and Risk Assessment, Vol. 21 Number 3, (2007) 235-251
• 1071: Bender, Christian; Kolodko, Anastasia; Schoenmakers, John G. M.
  Enhanced policy iteration for American options via scenario selection
  Appeared in: Quantitative Finance, Vol. 8, Number 2, pp. 135-146
• 1061: Bender, Christian; Kolodko, Anastasia; Schoenmakers, John G. M.
  Iterating snowballs and related path dependent callables in a multi-factor Libor model
  Appeared in: RISK, September 2006 pp. 126--130, under the new title: Iterating cancellable snowballs and related exotics.
• 991: Bender, Christian; Schoenmakers, John G. M.
  An iterative algorithm for multiple stopping: Convergence and stability
  Appeared in: Advances in Applied Probability, Volume 38, Number 3 (2006) pp. 729--749.
• 926: Kolodko, Anastasia; Schoenmakers, John G. M.
  Iterative construction of the optimal Bermudan stopping time
  Appeared in: Finance and Stochastics, Volume 10, Number 1 (Jan. 2006), pp. 27 - 49
• 877: Kolodko, Anastasia; Schoenmakers, John G. M.
  An efficient dual Monte Carlo upper bound for Bermudan style derivatives
  Appeared in: Monte Carlo Methods and Applications Vol.10 (3-4), 331-343 under the title ”Upper Bounds for Bermudan Style Derivatives”
• 850: Milstein, Grigori N.; Reiß, Oliver; Schoenmakers, John G. M.
  Monte Carlo methods for pricing and hedging American options
  Appeared in: International Journal of Theoretical and Applied Finance Vol. 7, No. 5, 591-614(2004) under the title ”A new Monte Carlo method for American options”
• 846: Haaf, Hermann; Reiß, Oliver; Schoenmakers, John G. M.
  Numerically stable computation of CreditRisk+
  Appeared in: Journal of Risk (2004) Vol. 6, Nr. 4, pp. 1-10
• 740: Schoenmakers, John G. M.
  Calibration of LIBOR models to caps and swaptions: A way around intrinsic instabilities via parsimonious structures and a collateral market criterion
  
• 680: Milstein, Grigori N.; Schoenmakers, John G. M.; Spokoiny, Vladimir
  Transition density estimation for stochastic differential equations via forward-reverse representations
  Appeared in: Bernoulli, vol. 10(2), 2004, pp. 281--312
• 652: Reiß, Oliver; Schoenmakers, John G. M.; Schweizer, Martin
  Endogenous interest rate dynamics in asset markets
  Appeared in: Journal of Economic Dynamics & Control, 31, 2007, 593-612, under new title: From Structual Assumptions to a Link between Assets and Interest Rates.
• 611: Schoenmakers, John G. M.; Coffey, Brian
  Stable implied calibration of a multi-factor LIBOR model via a semi-parametric correlation structure.
  Appeared in: International Journal of Theoretical and Applied Finance Vol. 6, No. 4, 1-13 (2003) under new title: Systematic Generation of Correlation Structures for the Libor Market Model.
• 507: Milstein, Grigori .N.; Schoenmakers, John G. M.
  Numerical construction of a hedging strategy against the European claim
  Appeared in: Stochastics and Stochastics Reports 73 (1-2), under new title: Monte Carlo construction of hedging strategies against European asset claims.
• 481: Kurbanmuradov, Orazgeldy; Sabelfeld, Karl; Schoenmakers, John G. M.
  Lognormal random field approximations to LIBOR market models
  Appeared in: Journal of Computational Finance, Vol. 6, No. 1, (69-100) 2002. Under new title: Lognormal approximations to Libor market models.
• 480: Coffey, Brian; Schoenmakers, John G. M.
  LIBOR rate models, related derivatives and model calibration