Neural stochastic Volterra equations: learning path-dependent dynamics

DOI10.4208/JML.240926MaRDI QIDQ7323616zbMATH OpenFDO

Authors Martin Bergerhausen, David J. Prömel, David Scheffels

Publication date 1 September 2026

Published in Journal of Machine Learning (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4208/JML.240926

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Artificial neural networks and deep learning (68T07) Financial applications of other theories (91G80)

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