Learning to simulate sequentially generated data via neural networks and Wasserstein training

DOI10.1145/3583070MaRDI QIDQ6599355zbMATHFDO

Authors Tingyu Zhu, Haoyu Liu, Zeyu Zheng

Publication date 6 September 2024

Published in ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)

zbMATH Keywords

neural networkstatistical propertiessequential simulatorWasserstein training

Mathematics Subject Classification ID

Sequential statistical analysis (62L10) Artificial neural networks and deep learning (68T07) Probabilistic models, generic numerical methods in probability and statistics (65C20)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
• Deep Neural Network Approximation Theory
• Foundations of machine learning
• Multivariate Stochastic Volatility: A Review
• Nonparametric regression on low-dimensional manifolds using deep ReLU networks: function approximation and statistical recovery
• Numerical solution of stochastic differential equations with jumps in finance
• Quant GANs: deep generation of financial time series
• Stochastic Volatility: Origins and Overview

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