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q-fin.ST2025
Integrating LSTM Networks with Neural Levy Processes for Financial Forecasting
Mohammed Alruqimi, Luca Di Persio
This paper investigates an optimal integration of deep learning with financial models for robust asset price forecasting. Specifically, we developed a hybrid framework combining a…
math-ph2025
Port-Hamiltonian Neural Networks: From Theory to Simulation of Interconnected Stochastic Systems
Luca Di Persio, Matthias Ehrhardt, Youness Outaleb +1
This work introduces a new framework integrating port-Hamiltonian systems (PHS) and neural network architectures. This framework bridges the gap between deterministic and stochasti…
math.OC2025
Nonlocal Stochastic Optimal Control for Diffusion Processes: Existence, Maximum Principle and Financial Applications
Stefana-Lucia Anita, Luca Di Persio
This paper investigates the optimal control problem for a class of parabolic equations where the diffusion coefficient is influenced by a control function acting nonlocally. Specif…