1 citations · 1 across the 3 of their papers we have counts for
3 papers
q-fin.PR2022★ 1 cited
Pricing options on flow forwards by neural networks in Hilbert space
Fred Espen Benth, Nils Detering, Luca Galimberti
We propose a new methodology for pricing options on flow forwards by applying infinite-dimensional neural networks. We recast the pricing problem as an optimization problem in a Hi…
math.PR2021
Stochastic Integrals and Gelfand Integration in Fréchet Spaces
Fred Espen Benth, Luca Galimberti
We provide a detailed analysis of the Gelfand integral on Fréchet spaces, showing among other things a Vitali theorem, dominated convergence and a Fubini result. Furthermore, the G…
math.AP2019
Well-posedness theory for stochastically forced conservation laws on Riemannian manifolds
Luca Galimberti, Kenneth H. Karlsen
We investigate a class of scalar conservation laws on manifolds driven by multiplicative Gaussian (Ito) noise. The Cauchy problem defined on a Riemannian manifold is shown to be we…