30 citations · 35 across the 8 of their papers we have counts for
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stat.ML2022
Optimal Stopping with Gaussian Processes
Kshama Dwarakanath, Danial Dervovic, Peyman Tavallali +2
We propose a novel group of Gaussian Process based algorithms for fast approximate optimal stopping of time series with specific applications to financial markets. We show that str…
stat.ML2022★ 30 cited
One-Shot Learning of Stochastic Differential Equations with Data Adapted Kernels
Matthieu Darcy, Boumediene Hamzi, Giulia Livieri +2
We consider the problem of learning Stochastic Differential Equations of the form from one sample trajectory. This problem is more challenging than le…