135 citations · 234 across the 30 of their papers we have counts for
41 papers
Bounding the Difference between the Values of Robust and Non-Robust Markov Decision Problems
Ariel Neufeld, Julian Sester
In this note we provide an upper bound for the difference between the value function of a distributionally robust Markov decision problem and the value function of a non-robust Mar…
Feasible approximation of matching equilibria for large-scale matching for teams problems
Ariel Neufeld, Qikun Xiang
We propose a numerical algorithm for computing feasible and approximately optimal solutions of the matching for teams problem. Specifically, we introduce the notion of approximate…
Neural networks can detect model-free static arbitrage strategies
Ariel Neufeld, Julian Sester
In this paper we demonstrate both theoretically as well as numerically that neural networks can detect model-free static arbitrage opportunities whenever the market admits some. Du…
An efficient Monte Carlo scheme for Zakai equations
Christian Beck, Sebastian Becker, Patrick Cheridito +2
In this paper we develop a numerical method for efficiently approximating solutions of certain Zakai equations in high dimensions. The key idea is to transform a given Zakai SPDE i…
Langevin dynamics based algorithm e-THO POULA for stochastic optimization problems with discontinuous stochastic gradient
Dong-Young Lim, Ariel Neufeld, Sotirios Sabanis +1
We introduce a new Langevin dynamics based algorithm, called e-THO POULA, to solve optimization problems with discontinuous stochastic gradients which naturally appear…
Chaotic Hedging with Iterated Integrals and Neural Networks
Ariel Neufeld, Philipp Schmocker
In this paper, we derive an -chaos expansion based on iterated Stratonovich integrals with respect to a given exponentially integrable continuous semimartingale. By omitting t…