4 papers
A market resilient data-driven approach to option pricing
Anindya Goswami, Nimit Rana
In this paper, we present a data-driven ensemble approach for option price prediction whose derivation is based on the no-arbitrage theory of option pricing. Using the theoretical…
Wave maps in dimension with an external forcing
Zdzisław Brzeźniak, Jacek Jendrej, Nimit Rana
This paper aims to establish the local and global well-posedness theory in , inspired by the approach of Keel and Tao [Internat. Math. Res. Notices, 1998], for the forced wave…
Stochastic Modified Flows for Riemannian Stochastic Gradient Descent
Benjamin Gess, Sebastian Kassing, Nimit Rana
We give quantitative estimates for the rate of convergence of Riemannian stochastic gradient descent (RSGD) to Riemannian gradient flow and to a diffusion process, the so-called Ri…
Low regularity solutions to the stochastic geometric wave equation driven by a fractional Brownian sheet
Zdzisław Brzeźniak, Nimit Rana
We announce a result on the existence of a unique local solution to a stochastic geometric wave equation on the one dimensional Minkowski space with values in an…