A Deep Solver for Backward Stochastic Volterra Integral Equations
SIAM Journal on Scientific Computing 48(2), C359–C384
Mathematics · Machine learning · Finance
Kristoffer Andersson
Postdoctoral Researcher · University of Verona
I develop and analyze deep learning methods for stochastic control and mathematical finance, with applications to portfolio optimization, derivative valuation, and risk management.
Selected research
All publicationsConvergence of a Robust Deep FBSDE Method for Stochastic Control
SIAM Journal on Scientific Computing 45(1), A226–A255
About me
I am a postdoctoral researcher at the University of Verona. My research combines stochastic analysis, numerical methods, and machine learning to solve high-dimensional problems in control and finance.
Before joining Verona, I held a postdoctoral position at Utrecht University. I completed my doctoral research at Centrum Wiskunde & Informatica (CWI), working within the TU Delft and Utrecht University research environment. My doctoral thesis, completed in 2023, focused on neural networks for stochastic control and decision making in mathematical finance.
Curriculum vitae