Igor Kossaczký

Igor Kossaczký

Igor Kossaczký gained a masters degree in Financial Mathematics in 2014 from the Comenius University in Bratislava and a PhD (Dr. rer. nat.) in Mathematics in 2018 from the University of Wuppertal. In his previous work on numerical methods for PDEs in computational finance, he was mainly focused on the tree-grid methods for the HJB equation. Currently he works on deep learning as a data scientist.
 

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Articles by Igor Kossaczký

The 2D tree–grid method

In this paper, the authors introduce a novel, explicit, wide-stencil, two-dimensional (2D) tree–grid method for solving stochastic control problems (SCPs) with two space dimensions and one time dimension, or, equivalently, the corresponding Hamilton…

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