30 citations · 57 across the 6 of their papers we have counts for
4 papers · 1 filter
Deep neural network expressivity for optimal stopping problems
Lukas Gonon
This article studies deep neural network expression rates for optimal stopping problems of discrete-time Markov processes on high-dimensional state spaces. A general framework is e…
Overcoming the curse of dimensionality in the numerical approximation of high-dimensional semilinear elliptic partial differential equations
Christian Beck, Lukas Gonon, Arnulf Jentzen
Recently, so-called full-history recursive multilevel Picard (MLP) approximation schemes have been introduced and shown to overcome the curse of dimensionality in the numerical app…
Approximation Bounds for Random Neural Networks and Reservoir Systems
Lukas Gonon, Lyudmila Grigoryeva, Juan-Pablo Ortega
This work studies approximation based on single-hidden-layer feedforward and recurrent neural networks with randomly generated internal weights. These methods, in which only the la…
Linearized Filtering of Affine Processes Using Stochastic Riccati Equations
Lukas Gonon, Josef Teichmann
We consider an affine process which is only observed up to an additive white noise, and we ask for its law, for some time , conditional on all observations up to this t…