John Schoenmakers

According to our database, John Schoenmakers authored at least 26 papers between 2004 and 2024.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of five.

2024

Primal-Dual Regression Approach for Markov Decision Processes with General State and Action Spaces.

Denis Belomestny, John Schoenmakers

SIAM J. Control. Optim., February, 2024

Weighted mesh algorithms for general Markov decision processes: Convergence and tractability.

Denis Belomestny, John Schoenmakers

CoRR, 2024

2023

Solving Optimal Stopping Problems via Randomization and Empirical Dual Optimization.

Denis Belomestny, Christian Bender, John Schoenmakers

Math. Oper. Res., August, 2023

2022

Primal-dual regression approach for Markov decision processes with general state and action space.

Denis Belomestny, John Schoenmakers

CoRR, 2022

2021

Randomized Optimal Stopping Algorithms and Their Convergence Analysis.

Christian Bayer, Denis Belomestny, Paul Hager, Paolo Pigato, John Schoenmakers

SIAM J. Financial Math., 2021

2020

Optimal Stopping of McKean-Vlasov Diffusions via Regression on Particle Systems.

Denis Belomestny, John Schoenmakers

SIAM J. Control. Optim., 2020

Reinforced optimal control.

Christian Bayer, Denis Belomestny, Paul Hager, Paolo Pigato, John Schoenmakers, Vladimir G. Spokoiny

CoRR, 2020

2019

Semi-tractability of optimal stopping problems via a weighted stochastic mesh algorithm.

Denis Belomestny, Maxim Kaledin, John Schoenmakers

CoRR, 2019

2018

Projected Particle Methods for Solving McKean-Vlasov Stochastic Differential Equations.

Denis Belomestny, John Schoenmakers

SIAM J. Numer. Anal., 2018

Optimal Stopping Under Uncertainty in Drift and Jump Intensity.

Volker Krätschmer, Marcel Ladkau, Roger J. A. Laeven, John Schoenmakers, Mitja Stadje

Math. Oper. Res., 2018

2017

SDE Based Regression for Linear Random PDEs.

Felix Anker, Christian Bayer, Martin Eigel, Marcel Ladkau, Johannes Neumann, John Schoenmakers

SIAM J. Sci. Comput., 2017

2016

From Rough Path Estimates to Multilevel Monte Carlo.

Christian Bayer, Peter K. Friz, Sebastian Riedel, John Schoenmakers

SIAM J. Numer. Anal., 2016

2015

Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration.

Zorana Grbac, Antonis Papapantoleon, John Schoenmakers, David Skovmand

SIAM J. Financial Math., 2015

Multilevel Simulation Based Policy Iteration for Optimal Stopping-Convergence and Complexity.

Denis Belomestny, Marcel Ladkau, John Schoenmakers

SIAM/ASA J. Uncertain. Quantification, 2015

Addendum to: Multilevel dual approach for pricing American style derivatives.

Denis Belomestny, Mark S. Joshi, John Schoenmakers

Finance Stochastics, 2015

2013

Optimal Dual Martingales, Their Analysis, and Application to New Algorithms for Bermudan Products.

John Schoenmakers, Jianing Zhang, Junbo Huang

SIAM J. Financial Math., 2013

Multilevel dual approach for pricing American style derivatives.

Denis Belomestny, John Schoenmakers, Fabian Dickmann

Finance Stochastics, 2013

2012

A pure martingale dual for multiple stopping.

John Schoenmakers

Finance Stochastics, 2012

Tight bounds for American options via multilevel Monte Carlo.

Denis Belomestny, Marcel Ladkau, John Schoenmakers

Proceedings of the Winter Simulation Conference, 2012

2010

Representations for Optimal Stopping under Dynamic Monetary Utility Functionals.

Volker Krätschmer, John Schoenmakers

SIAM J. Financial Math., 2010

Regression Methods for Stochastic Control Problems and Their Convergence Analysis.

Denis Belomestny, Anastasia Kolodko, John Schoenmakers

SIAM J. Control. Optim., 2010

2009

Multiple stochastic volatility extension of the Libor market model and its implementation.

Denis Belomestny, Stanley Mathew, John Schoenmakers

Monte Carlo Methods Appl., 2009

2008

Monte Carlo Greeks for Financial Products via Approximative Transition Densities.

Jörg Kampen, Anastasia Kolodko, John Schoenmakers

SIAM J. Sci. Comput., 2008

2006

Policy iteration for american options: overview.

Christian Bender, Anastasia Kolodko, John Schoenmakers

Monte Carlo Methods Appl., 2006

Iterative construction of the optimal Bermudan stopping time.

Anastasia Kolodko, John Schoenmakers

Finance Stochastics, 2006

2004

Upper Bounds for Bermudan Style Derivatives.

Anastasia Kolodko, John Schoenmakers

Monte Carlo Methods Appl., 2004