3 citations · 8 across the 13 of their papers we have counts for
Showing 2024Show all
2 papers · 1 filter
math.OC2024★ 1 cited
Non-concave stochastic optimal control in finite discrete time under model uncertainty
Ariel Neufeld, Julian Sester
In this article we present a general framework for non-concave robust stochastic control problems under model uncertainty in a discrete time finite horizon setting. Our framework a…
q-fin.RM2024
Measuring Name Concentrations through Deep Learning
Eva Lütkebohmert, Julian Sester
We propose a new deep learning approach for the quantification of name concentration risk in loan portfolios. Our approach is tailored for small portfolios and allows for both an a…