2 citations · 2 across the 1 of their papers we have counts for
6 papers
Numerical method for feasible and approximately optimal solutions of multi-marginal optimal transport beyond discrete measures
Ariel Neufeld, Qikun Xiang
We propose a numerical algorithm for the computation of multi-marginal optimal transport (MMOT) problems involving general probability measures that are not necessarily discrete. B…
Chaotic Hedging with Iterated Integrals and Neural Networks
Ariel Neufeld, Philipp Schmocker
In this paper, we derive an -chaos expansion based on iterated Stratonovich integrals with respect to a given exponentially integrable continuous semimartingale. By omitting t…
Deep learning based numerical approximation algorithms for stochastic partial differential equations
Christian Beck, Sebastian Becker, Patrick Cheridito +2
In this article, we introduce and analyze a deep learning based approximation algorithm for SPDEs. Our approach employs neural networks to approximate the solutions of SPDEs along…
Numerical method for approximately optimal solutions of two-stage distributionally robust optimization with marginal constraints
Ariel Neufeld, Qikun Xiang
We consider a general class of two-stage distributionally robust optimization (DRO) problems where the ambiguity set is constrained by fixed marginal probability laws that are not…
Feasible approximation of matching equilibria for large-scale matching for teams problems
Ariel Neufeld, Qikun Xiang
We propose a numerical algorithm for computing approximately optimal solutions of the matching for teams problem. Our algorithm is efficient for problems involving large number of…
Multilevel Picard approximation algorithm for semilinear partial integro-differential equations and its complexity analysis
Ariel Neufeld, Sizhou Wu
In this paper we introduce a multilevel Picard approximation algorithm for semilinear parabolic partial integro-differential equations (PIDEs). We prove that the numerical approxim…