Deep signature FBSDE algorithm (Q6164091): Difference between revisions

@@ Property / cites work @@
+Pricing under rough volatility
@@ Property / cites work: Pricing under rough volatility / rank @@
+Normal rank
@@ Property / cites work @@
+Good deal hedging and valuation under combined uncertainty about drift and volatility
+Normal rank
@@ Property / cites work @@
+The robust Merton problem of an ambiguity averse investor
+Normal rank
@@ Property / cites work @@
+DYNAMIC CONIC FINANCE: PRICING AND HEDGING IN MARKET MODELS WITH TRANSACTION COSTS VIA DYNAMIC COHERENT ACCEPTABILITY INDICES
+Normal rank
@@ Property / cites work @@
+European Option Pricing with Stochastic Volatility Models Under Parameter Uncertainty
+Normal rank
@@ Property / cites work @@
+Functional Itô calculus
@@ Property / cites work: Functional Itô calculus / rank @@
+Normal rank
@@ Property / cites work @@
+Multidimensional Stochastic Processes as Rough Paths
+Normal rank
@@ Property / cites work @@
+Kernels for sequentially ordered data
@@ Property / cites work: Kernels for sequentially ordered data / rank @@
+Normal rank
@@ Property / cites work @@
+Differential equations driven by rough signals. I: An extension of an inequality of L. C. Young
+Normal rank
@@ Property / cites work @@
+MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE
+Normal rank
@@ Property / cites work @@
+Q4905685
@@ Property / cites work: Q4905685 / rank @@
+Normal rank
@@ Property / cites work @@
+Martingale methods in financial modelling.
@@ Property / cites work: Martingale methods in financial modelling. / rank @@
+Normal rank
@@ Property / cites work @@
+Q4029028
@@ Property / cites work: Q4029028 / rank @@
+Normal rank
@@ Property / cites work @@
+Filtration consistent nonlinear expectations and evaluations of contingent claims
+Normal rank
@@ Property / cites work @@
+BSDE, path-dependent PDE and nonlinear Feynman-Kac formula
+Normal rank
@@ Property / cites work @@
+Two Person Zero-Sum Game in Weak Formulation and Path Dependent Bellman--Isaacs Equation
+Normal rank
@@ Property / cites work @@
+Algorithm 1004
@@ Property / cites work: Algorithm 1004 / rank @@
+Normal rank
@@ Property / cites work @@
+Unbiased Deep Solvers for Linear Parametric PDEs
@@ Property / cites work: Unbiased Deep Solvers for Linear Parametric PDEs / rank @@
+Normal rank
@@ Property / cites work @@
+Path-Dependent Deep Galerkin Method: A Neural Network Approach to Solve Path-Dependent Partial Differential Equations
+Normal rank
@@ Property / cites work @@
+Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Backward Stochastic Differential Equations
@@ Property / cites work: Backward Stochastic Differential Equations / rank @@
+Normal rank