1 citations · 1 across the 2 of their papers we have counts for
2 papers
math.OC2021
Deep Semi-Martingale Optimal Transport
Ivan Guo, Nicolas Langrené, Grégoire Loeper +1
We propose two deep neural network-based methods for solving semi-martingale optimal transport problems. The first method is based on a relaxation/penalization of the terminal cons…
q-fin.GN2020★ 1 cited
Deep neural network for optimal retirement consumption in defined contribution pension system
Wen Chen, Nicolas Langrené
In this paper, we develop a deep neural network approach to solve a lifetime expected mortality-weighted utility-based model for optimal consumption in the decumulation phase of a…