1 citations · 1 across the 1 of their papers we have counts for
2 papers
cs.LG2023★ 1 cited
A Neural RDE approach for continuous-time non-Markovian stochastic control problems
Melker Hoglund, Emilio Ferrucci, Camilo Hernandez +4
We propose a novel framework for solving continuous-time non-Markovian stochastic control problems by means of neural rough differential equations (Neural RDEs) introduced in Morri…
q-fin.CP2021
Clustering Market Regimes using the Wasserstein Distance
Blanka Horvath, Zacharia Issa, Aitor Muguruza
The problem of rapid and automated detection of distinct market regimes is a topic of great interest to financial mathematicians and practitioners alike. In this paper, we outline…