Stochastic processes adapted by neural networks with application to climate, energy, and finance

DOI10.1016/J.AMC.2011.03.121zbMATH Open1229.60063OpenAlexW1987182981MaRDI QIDQ648255FDOQ648255

Authors: Stefan Giebel, Martin Rainer 

Publication date: 22 November 2011

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2011.03.121

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zbMATH Keywords

stochastic processesneural networkscomputational finance

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stable stochastic processes (60G52)

Cites Work

• An Algorithm for Least-Squares Estimation of Nonlinear Parameters
• A method for the solution of certain non-linear problems in least squares
• Parameter Estimates for Symmetric Stable Distributions
• Calibration of stochastic models for interest rate derivatives

Cited In (5)

• A distributed-order fractional stochastic differential equation driven by Lévy noise: existence, uniqueness, and a fast EM scheme
• Neural network calibrated stochastic processes: forecasting financial assets
• Exponential synchronization for stochastic neural networks driven by fractional Brownian motion
• A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets
• Fixed/predefined-time synchronization of fuzzy neural networks with stochastic perturbations

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