30 citations · 54 across the 10 of their papers we have counts for
Showing 2020Show all
2 papers · 1 filter
q-fin.CP2020★ 4 cited
Solving path dependent PDEs with LSTM networks and path signatures
Marc Sabate-Vidales, David Šiška, Lukasz Szpruch
Using a combination of recurrent neural networks and signature methods from the rough paths theory we design efficient algorithms for solving parametric families of path dependent…
math.OC2020
A modified MSA for stochastic control problems
Bekzhan Kerimkulov, David Šiška, Łukasz Szpruch
The classical Method of Successive Approximations (MSA) is an iterative method for solving stochastic control problems and is derived from Pontryagin's optimality principle. It is…