4 citations · 4 across the 5 of their papers we have counts for
3 papers · 1 filter
Algorithmic trading and stochastic integration
Aleksandar Arandjelovic, Uwe Schmock
We study simple predictable processes whose coefficients are represented by neural networks. On finite measure spaces, we establish density results for neural networks in Orlicz sp…
Geometry of Distribution-Constrained Optimal Stopping Problems
Mathias Beiglboeck, Manu Eder, Christiane Elgert +1
We adapt ideas and concepts developed in optimal transport (and its martingale variant) to give a geometric description of optimal stopping times of Brownian motion subject to the…
Non-monotone convergence in the quadratic Wasserstein distance
Walter Schachermayer, Uwe Schmock, Josef Teichmann
We give an easy counter-example to Problem 7.20 from C. Villani's book on mass transport: in general, the quadratic Wasserstein distance between -fold normalized convolutions of…