On parametric optimal execution and machine learning surrogates

DOI10.1080/14697688.2023.2282657arXiv2204.08581WikidataQ125908529 ScholiaQ125908529MaRDI QIDQ6127405

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Publication date: 12 April 2024

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2204.08581

zbMATH Keywords

optimal executionparametric controlstochastic resilienceneural network surrogates

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Artificial neural networks and deep learning (68T07) Dynamic programming (90C39)

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