37 citations · 102 across the 10 of their papers we have counts for
3 papers · 1 filter
Mutual Information for Explainable Deep Learning of Multiscale Systems
Søren Taverniers, Eric J. Hall, Markos A. Katsoulakis +1
Timely completion of design cycles for complex systems ranging from consumer electronics to hypersonic vehicles relies on rapid simulation-based prototyping. The latter typically i…
Weak error rates for option pricing under linear rough volatility
Christian Bayer, Eric Joseph Hall, Raúl Tempone
In quantitative finance, modeling the volatility structure of underlying assets is vital to pricing options. Rough stochastic volatility models, such as the rough Bergomi model [Ba…
GINNs: Graph-Informed Neural Networks for Multiscale Physics
Eric J. Hall, Søren Taverniers, Markos A. Katsoulakis +1
We introduce the concept of a Graph-Informed Neural Network (GINN), a hybrid approach combining deep learning with probabilistic graphical models (PGMs) that acts as a surrogate fo…