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cs.LG2023
Transformers Can Solve Non-Linear and Non-Markovian Filtering Problems in Continuous Time For Conditionally Gaussian Signals
Blanka Horvath, Anastasis Kratsios, Yannick Limmer +1
The use of attention-based deep learning models in stochastic filtering, e.g. transformers and deep Kalman filters, has recently come into focus; however, the potential for these m…
cs.LG2023
Regret-Optimal Federated Transfer Learning for Kernel Regression with Applications in American Option Pricing
Xuwei Yang, Anastasis Kratsios, Florian Krach +2
We propose an optimal iterative scheme for federated transfer learning, where a central planner has access to datasets for the same learning model $f_…