135 citations · 234 across the 30 of their papers we have counts for
3 papers · 1 filter
Affine processes under parameter uncertainty
Tolulope Fadina, Ariel Neufeld, Thorsten Schmidt
We develop a one-dimensional notion of affine processes under parameter uncertainty, which we call non-linear affine processes. This is done as follows: given a set of parameters f…
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…
Strong error analysis for stochastic gradient descent optimization algorithms
Arnulf Jentzen, Benno Kuckuck, Ariel Neufeld +1
Stochastic gradient descent (SGD) optimization algorithms are key ingredients in a series of machine learning applications. In this article we perform a rigorous strong error analy…