Stochastic Policy Gradient Methods in the Uncertain Volatility Model

MaRDI QIDQ7247957arXivFDO

Authors Lokman A. Abbas-Turki, Jean-Francois Chassagneux, Jean-Philippe Lemor, Grégoire Loeper, Simon Sananes

Publication date 2026

Published in arXiv

arXiv classification

q-fin.CP

Cited in

(1)

• Neural feedback approximation for stochastic control with degenerate diffusions: error estimates and numerical analysis

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