Jan Hendrik Witte

发表

Penalty Methods for the Solution of Discrete HJB Equations - Continuous Control and Obstacle Problems

Christoph Reisinger, Jan Hendrik Witte, 2012, SIAM J. Numer. Anal..

The Effect of Nonsmooth Payoffs on the Penalty Approximation of American Options

Sam D. Howison, Christoph Reisinger, Jan Hendrik Witte, 2010, SIAM J. Financial Math..

Deep Learning for Finance: Deep Portfolios

Jan Hendrik Witte, Nicholas G. Polson, J. B. Heaton, 2016 .

Monte Carlo methods via a dual approach for some discrete time stochastic control problems

Jan Hendrik Witte, B. M. Hambly, Lajos Gergely Gyurkó, 2015, Math. Methods Oper. Res..

Numerical solution of discretised HJB equations with applications in finance

Jan Hendrik Witte, J. Witte, 2011 .

A Bellman View of Jesse Livermore

Jan Hendrik Witte, Nicholas G. Polson, 2014 .

The Blockchain: A Gentle Four Page Introduction pdf

Jan Hendrik Witte, J. Witte, 2016, ArXiv.

A Penalty Method for the Numerical Solution of Hamilton-Jacobi-Bellman (HJB) Equations in Finance

Christoph Reisinger, Jan Hendrik Witte, 2011, SIAM J. Numer. Anal..

Evaluation of Deep Learning Instance Segmentation Models for Pig Precision Livestock Farming

Jorge Marx Gómez, Jan Hendrik Witte, Christian Melching, 2021, BIS.

Volatility Harvesting: Extracting Return from Randomness

Jan Hendrik Witte, 2015 .

On the Penalisation Error for American Options in a Jump Model

Christoph Reisinger, Jan Hendrik Witte, 2010 .

On the Use of Policy Iteration as an Easy Way of Pricing American Options

Christoph Reisinger, Jan Hendrik Witte, C. Reisinger, 2010, SIAM J. Financial Math..

Penalty Methods for the Numerical Solution of HJB Equations -- Continuous Control and Obstacle Problems

Christoph Reisinger, Jan Hendrik Witte, 2011 .