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20182020
most citedLipschitz neural networks are dense in the set of all Lipschitz functions

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math.OC2018

Computation of optimal transport and related hedging problems via penalization and neural networks

Stephan Eckstein, Michael Kupper

This paper presents a widely applicable approach to solving (multi-marginal, martingale) optimal transport and related problems via neural networks. The core idea is to penalize th…