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Cheridito, Patrick
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1

An efficient Monte Carlo scheme for Zakai equations:

Beck, Christian ; Becker, Sebastian ; Cheridito, Patrick..
Communications in Nonlinear Science and Numerical Simulation.  126 (2023)  - p. 107438 , 2023
Link: https://doi.org/10.1016/..
 
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2

Computation of Conditional Expectations with Guarantees:

Cheridito, Patrick ; Gersey, Balint
Journal of Scientific Computing.  95 (2023)  1 - p. , 2023
Link: https://doi.org/10.1007/..
 
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3

A proof of convergence for gradient descent in the training..:

Cheridito, Patrick ; Jentzen, Arnulf ; Riekert, Adrian.
Journal of Complexity.  72 (2022)  - p. 101646 , 2022
Link: https://doi.org/10.1016/..
 
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4

Efficient Approximation of High-Dimensional Functions With ..:

Cheridito, Patrick ; Jentzen, Arnulf ; Rossmannek, Florian
IEEE Transactions on Neural Networks and Learning Systems.  33 (2022)  7 - p. 3079-3093 , 2022
Link: https://doi.org/10.1109/..
 
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5

Landscape Analysis for Shallow Neural Networks: Complete Cl..:

Cheridito, Patrick ; Jentzen, Arnulf ; Rossmannek, Florian
Journal of Nonlinear Science.  32 (2022)  5 - p. , 2022
Link: https://doi.org/10.1007/..
 
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6

Non-convergence of stochastic gradient descent in the train..:

Cheridito, Patrick ; Jentzen, Arnulf ; Rossmannek, Florian
Journal of Complexity.  64 (2021)  - p. 101540 , 2021
Link: https://doi.org/10.1016/..
 
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7

Solving high-dimensional optimal stopping problems using de..:

BECKER, SEBASTIAN ; CHERIDITO, PATRICK ; JENTZEN, ARNULF.
European Journal of Applied Mathematics.  32 (2021)  3 - p. 470-514 , 2021
Link: https://doi.org/10.1017/..
 
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8

Deep Splitting Method for Parabolic PDEs:

Beck, Christian ; Becker, Sebastian ; Cheridito, Patrick..
SIAM Journal on Scientific Computing.  43 (2021)  5 - p. A3135-A3154 , 2021
Link: https://doi.org/10.1137/..
 
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9

Pricing and Hedging American-Style Options with Deep Learni..:

Becker, Sebastian ; Cheridito, Patrick ; Jentzen, Arnulf
Journal of Risk and Financial Management.  13 (2020)  7 - p. 158 , 2020
Link: https://doi.org/10.3390/..
 
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10

Assessing Asset-Liability Risk with Neural Networks:

Cheridito, Patrick ; Ery, John ; Wüthrich, Mario V.
Risks.  8 (2020)  1 - p. 16 , 2020
Link: https://doi.org/10.3390/..
 
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11

Martingale optimal transport duality:

Cheridito, Patrick ; Kiiski, Matti ; Prömel, David J..
Mathematische Annalen.  379 (2020)  3-4 - p. 1685-1712 , 2020
Link: https://doi.org/10.1007/..
 
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12

Measuring and Allocating Systemic Risk:

Brunnermeier, Markus K. ; Cheridito, Patrick
Risks.  7 (2019)  2 - p. 46 , 2019
Link: https://doi.org/10.3390/..
 
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13

Robust expected utility maximization with medial limits:

Bartl, Daniel ; Cheridito, Patrick ; Kupper, Michael
Journal of Mathematical Analysis and Applications.  471 (2019)  1-2 - p. 752-775 , 2019
Link: https://doi.org/10.1016/..
 
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14

BSE'S, BSDE'S AND FIXED-POINT PROBLEMS:

Cheridito, Patrick ; Nam, Kihun
The Annals of Probability.  45 (2017)  6A - p. 3795-3828 , 2017
Link: https://www.jstor.org/st..
 
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15

Duality Formulas for Robust Pricing and Hedging in Discrete..:

Cheridito, Patrick ; Kupper, Michael ; Tangpi, Ludovic
SIAM Journal on Financial Mathematics.  8 (2017)  1 - p. 738-765 , 2017
Link: https://doi.org/10.1137/..
 
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