10 citations · 10 across the 1 of their papers we have counts for
3 papers
q-fin.MF2020
Robust pricing and hedging via neural SDEs
Patryk Gierjatowicz, Marc Sabate-Vidales, David Šiška +2
Mathematical modelling is ubiquitous in the financial industry and drives key decision processes. Any given model provides only a crude approximation to reality and the risk of usi…
math.PR2019
Mean-Field Langevin Dynamics and Energy Landscape of Neural Networks
Kaitong Hu, Zhenjie Ren, David Siska +1
Our work is motivated by a desire to study the theoretical underpinning for the convergence of stochastic gradient type algorithms widely used for non-convex learning tasks such as…
math.PR2007★ 10 cited
On randomized stopping
Istvan Gyongy, David Siska
A general result on the method of randomized stopping is proved. It is applied to optimal stopping of controlled diffusion processes with unbounded coefficients to reduce it to an…