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math.NA2021
Deep ReLU Network Expression Rates for Option Prices in high-dimensional, exponential Lévy models
Lukas Gonon, Christoph Schwab
We study the expression rates of deep neural networks (DNNs for short) for option prices written on baskets of risky assets, whose log-returns are modelled by a multivariate Lé…
math.NA2020
Weak error analysis for stochastic gradient descent optimization algorithms
Aritz Bercher, Lukas Gonon, Arnulf Jentzen +1
Stochastic gradient descent (SGD) type optimization schemes are fundamental ingredients in a large number of machine learning based algorithms. In particular, SGD type optimization…