3 papers
stat.ML2026
Operator Neural Jump ODEs: -optimal prediction in function spaces
Florian Krach, Oliver Löthgren, Josef Teichmann
In this paper, we study the extension of Neural Jump ODEs to infinite-dimensional function spaces. In particular, the underlying process now takes values in $L^2(Î, \mathbb{R}…
stat.ML2025
Neural Jump ODEs as Generative Models
Robert A. Crowell, Florian Krach, Josef Teichmann
In this work, we explore how Neural Jump ODEs (NJODEs) can be used as generative models for Itô processes. Given (discrete observations of) samples of a fixed underlying Itô proc…
q-fin.CP2025
Robust Utility Optimization via a GAN Approach
Florian Krach, Josef Teichmann, Hanna Wutte
Robust utility optimization enables an investor to deal with market uncertainty in a structured way, with the goal of maximizing the worst-case outcome. In this work, we propose a…