Below is a list of my publications which have either already gone through peer review or are currently under review.
Further details, such as list of co-authors or other research metrics, can be found on my google scholar page.
If you're interested in upcoming works, feel free to follow me on researchgate, arXiv or ORCID.
Implementations should appear on my github page shortly after peer review.
(Last updated 05/08/2024).
Journal publications
Convergence of the deep BSDE method for stochastic control problems formulated through the stochastic maximum principle [doi]
Zhipeng Huang, Balint Negyesi, Cornelis W. Oosterlee
Mathematics and Computers in Simulation
2024The One Step Malliavin scheme: new discretization of BSDEs implemented with deep learning regression [doi]
Balint Negyesi, Kristoffer Andersson, Cornelis W. Oosterlee
IMA Journal of Numerical Analysis
2024