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q-fin.MF2018
Robust risk aggregation with neural networks
Stephan Eckstein, Michael Kupper, Mathias Pohl
We consider settings in which the distribution of a multivariate random variable is partly ambiguous. We assume the ambiguity lies on the level of the dependence structure, and tha…
math.PR2018
Stochastic integration and differential equations for typical paths
Daniel Bartl, Michael Kupper, Ariel Neufeld
The goal of this paper is to define stochastic integrals and to solve stochastic differential equations for typical paths taking values in a possibly infinite dimensional separable…
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…