Stochastic Gradient Descent in Continuous Time

DOI10.1137/17M1126825zbMath1407.91258arXiv1611.05545OpenAlexW2550039210MaRDI 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 equationsAmerican optionsmachine learningstochastic gradient descentstatistical learningdeep learning

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Learning and adaptive systems in artificial intelligence (68T05) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Neural nets and related approaches to inference from stochastic processes (62M45)

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Uses Software

• DGM

Cites Work

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