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q-fin.RM2026
Risk Measures under Paired-Ambiguity: A Deep Learning Reflected BSDE Framework
Nacira Agram, Jan Rems, Emanuela Rosazza Gianin
We study optimal stopping under dynamic risk measures with simultaneous ambiguity in the probability model and the discount rate. We introduce a paired ambiguity framework combinin…
math.NA2026
NeSTR: Neural S-Transform Reconstruction for Gaussian SPDEs
Nacira Agram, Fred Espen Benth, Jan Rems
We introduce Neural -Transform Reconstruction (NeSTR) for Gaussian stochastic partial differential equations (SPDEs). The learned object is not the random solution itself, but i…
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…