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

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q-fin.MF2018

Robust risk aggregation with neural networks

Stephan Eckstein, Michael Kupper, Mathias Pohl

We consider settings in which the distribution of a multivariate random variable is partly ambiguous. We assume the ambiguity lies on the level of the dependence structure, and tha…

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…