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stat.ML2024
Learning Chaotic Systems and Long-Term Predictions with Neural Jump ODEs
Florian Krach, Josef Teichmann
The Path-dependent Neural Jump ODE (PD-NJ-ODE) is a model for online prediction of generic (possibly non-Markovian) stochastic processes with irregular (in time) and potentially in…
q-fin.CP2024
Robust Utility Optimization via a GAN Approach
Florian Krach, Josef Teichmann, Hanna Wutte
Robust utility optimization enables an investor to deal with market uncertainty in a structured way, with the goal of maximizing the worst-case outcome. In this work, we propose a…