Computation of optimal transport and related hedging problems via penalization and neural networks
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Publication:2020305
Abstract: This paper presents a widely applicable approach to solving (multi-marginal, martingale) optimal transport and related problems via neural networks. The core idea is to penalize the optimization problem in its dual formulation and reduce it to a finite dimensional one which corresponds to optimizing a neural network with smooth objective function. We present numerical examples from optimal transport, martingale optimal transport, portfolio optimization under uncertainty and generative adversarial networks that showcase the generality and effectiveness of the approach.
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Cited in
(13)- Detecting data-driven robust statistical arbitrage strategies with deep neural networks
- Deep learning for constrained utility maximisation
- Model-free price bounds under dynamic option trading
- Robust statistical arbitrage strategies
- General construction and classes of explicit \(L^1\)-optimal couplings
- A multi-marginal c-convex duality theorem for martingale optimal transport
- Connecting GANs, mean-field games, and optimal transport
- A Scalable Deep Learning Approach for Solving High-Dimensional Dynamic Optimal Transport
- Improved robust price bounds for multi-asset derivatives under market-implied dependence information
- Neural networks can detect model-free static arbitrage strategies
- Stability and sample complexity of divergence regularized optimal transport
- Applications of weak transport theory
- Martingale transport with homogeneous stock movements
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