Stochastic Gradient Descent in Continuous Time

DOI10.1137/17M1126825zbMath1407.91258arXiv1611.05545MaRDI QIDQ4607057

Justin A. Sirignano, Konstantinos V. Spiliopoulos

Publication date: 12 March 2018

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1611.05545

zbMATH Keywords

stochastic differential equations; American options; machine learning; stochastic gradient descent; statistical learning; deep learning

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

68T05: Learning and adaptive systems in artificial intelligence

60G44: Martingales with continuous parameter

91G20: Derivative securities (option pricing, hedging, etc.)

62M45: Neural nets and related approaches to inference from stochastic processes

Uses Software

• DGM