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math.PR2026
A cylindrical neural approximation theorem for conditional laws of McKean-Vlasov equations with common noise
Nacira Agram, Reda Hmioui, Jan Rems
We introduce conditional cylindrical neural networks for approximating functionals of conditional laws in McKean-Vlasov equations with common noise. Fourier moments of the initial…
math.PR2024
SIG-BSDE for Dynamic Risk Measures
Nacira Agram, Jan Rems, Emanuela Rosazza Gianin
In this paper, we consider dynamic risk measures induced by backward stochastic differential equations (BSDEs). We discuss different examples that come up in the literature, includ…