Cornelis W. Oosterlee
Universiteit Utrecht
H-index: 52
Europe-Netherlands
Top articles of Cornelis W. Oosterlee
Title | Journal | Author(s) | Publication Date |
|---|---|---|---|
The One Step Malliavin scheme: new discretization of BSDEs implemented with deep learning regressions | IMA Journal of Numerical Analysis | Balint Negyesi Kristoffer Andersson Cornelis W Oosterlee | 2024/2/26 |
Energy-stable discretization of the one-dimensional two-fluid model | International Journal of Multiphase Flow | JFH Buist B Sanderse S Dubinkina CW Oosterlee RAWM Henkes | 2024/2/7 |
Convergence of the deep BSDE method for stochastic control problems formulated through the stochastic maximum principle | arXiv preprint arXiv:2401.17472 | Zhipeng Huang Balint Negyesi Cornelis W Oosterlee | 2024/1/30 |
Generalized convergence of the deep BSDE method: a step towards fully-coupled FBSDEs and applications in stochastic control | arXiv preprint arXiv:2403.18552 | Balint Negyesi Zhipeng Huang Cornelis W Oosterlee | 2024/3/27 |
A parallel preconditioner for the all-at-once linear system from evolutionary PDEs with Crank-Nicolson discretization | arXiv preprint arXiv:2401.16113 | Yong-Liang Zhao Xian-Ming Gu Cornelis W Oosterlee | 2024/1/29 |
On the Hull-White model with volatility smile for Valuation Adjustments | Thomas van der Zwaard Lech A Grzelak Cornelis W Oosterlee | 2024/3/21 | |
A deep learning-based Monte Carlo simulation scheme for stochastic differential equations driven by fractional Brownian motion | Neurocomputing | Fei Gao Cornelis W Oosterlee Jiangshe Zhang | 2024/3/14 |
Energy‐consistent formulation of the pressure‐free two‐fluid model | International Journal for Numerical Methods in Fluids | Jurriaan FH Buist Benjamin Sanderse Svetlana Dubinkina Cornelis W Oosterlee Ruud AWM Henkes | 2023/5 |
Markov chain generative adversarial neural networks for solving Bayesian inverse problems in physics applications | Computers & Mathematics with Applications | Nikolaj T Mücke Benjamin Sanderse Sander M Bohté Cornelis W Oosterlee | 2023/10/1 |
Evaluation of integrals with fractional Brownian motion for different Hurst indices | International Journal of Computer Mathematics | Fei Gao Shuaiqiang Liu Cornelis W Oosterlee Nico M Temme | 2023/4/3 |
AIDA: Analytic isolation and distance-based anomaly detection algorithm | Pattern Recognition | Luis Antonio Souto Arias Cornelis W Oosterlee Pasquale Cirillo | 2023/9/1 |
Estimation of reinforced urn processes under left-truncation and right-censoring | Royal Society Open Science | Luis A Souto Arias Pasquale Cirillo Cornelis W Oosterlee | 2023/3/8 |
Monte carlo simulation of sdes using gans | Japan Journal of Industrial and Applied Mathematics | Jorino van Rhijn Cornelis W Oosterlee Lech A Grzelak Shuaiqiang Liu | 2023/9 |
Convergence of a robust deep FBSDE method for stochastic control | SIAM Journal on Scientific Computing | Kristoffer Andersson Adam Andersson Cornelis W Oosterlee | 2023/2/28 |
D-TIPO: Deep time-inconsistent portfolio optimization with stocks and options | arXiv preprint arXiv:2308.10556 | Kristoffer Andersson Cornelis W Oosterlee | 2023/8/21 |
GPU acceleration of the Seven-League Scheme for large time step simulations of stochastic differential equations | arXiv preprint arXiv:2302.05170 | Shuaiqiang Liu Graziana Colonna Lech A Grzelak Cornelis W Oosterlee | 2023/2/10 |
A Probabilistic Digital Twin for Leak Localization in Water Distribution Networks Using Generative Deep Learning | Sensors | Nikolaj T Mücke Prerna Pandey Shashi Jain Sander M Bohté Cornelis W Oosterlee | 2023/7/5 |
Principal Component Copulas for Capital Modelling | arXiv preprint arXiv:2312.13195 | Koos B Gubbels Jelmer Yeb Ypma Cornelis W Oosterlee | 2023/12/20 |
A new self-exciting jump-diffusion process for option pricing | arXiv preprint arXiv:2205.13321 | Luis A Souto Arias Pasquale Cirillo Cornelis W Oosterlee | 2022/5/26 |
Efficient Wrong-Way Risk Modelling for Funding Valuation Adjustments | arXiv preprint arXiv:2209.12222 | Thomas van der Zwaarda Lech A Grzelaka Cornelis W Oosterleea | 2022/9/25 |
Co-Authors
