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math.OC2018
Computation of optimal transport and related hedging problems via penalization and neural networks
Stephan Eckstein, Michael Kupper
This paper presents a widely applicable approach to solving (multi-marginal, martingale) optimal transport and related problems via neural networks. The core idea is to penalize th…
math.OC2015
Portfolio Optimization under Nonlinear Utility
Gregor Heyne, Michael Kupper, Ludovic Tangpi
This paper studies the utility maximization problem of an agent with non-trivial endowment, and whose preferences are modeled by the maximal subsolution of a BSDE. We prove existen…