3 papers
stat.ML2026
Generalization error bounds for two-layer neural networks with Lipschitz loss function
Jiang Yu Nguwi, Nicolas Privault
We derive generalization error bounds for the training of two-layer neural networks without assuming boundedness of the loss function, using Wasserstein distance estimates on the d…
cs.LG2022
A deep learning approach to the probabilistic numerical solution of path-dependent partial differential equations
Jiang Yu Nguwi, Nicolas Privault
Recent work on Path-Dependent Partial Differential Equations (PPDEs) has shown that PPDE solutions can be approximated by a probabilistic representation, implemented in the literat…
math.OC2021
A constructive approach to existence of equilibria in time-inconsistent stochastic control problems
Jiang Yu Nguwi, Nicolas Privault
We extend the construction of equilibria for linear-quadratic and mean-variance portfolio problems available in the literature to a large class of mean-field time-inconsistent stoc…