Deep learning for conditional McKean-Vlasov jump diffusions

DOI10.1016/J.SYSCONLE.2025.106100MaRDI QIDQ6984967zbMATH OpenFDO

Authors N. Agram, Jan Rems

Publication date 14 May 2025

Published in Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.SYSCONLE.2025.106100

zbMATH Keywords

common noisedeep learningMcKean-Vlasov jump diffusionsignatures

Mathematics Subject Classification ID

Jump processes on discrete state spaces (60J74) Artificial neural networks and deep learning (68T07) Financial networks (including contagion, systemic risk, regulation) (91G45) Optimal stochastic control (93E20)

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Cited in

(1)

• Multilevel Picard approximations for McKean-Vlasov stochastic differential equations with jumps

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