31 citations · 152 across the 38 of their papers we have counts for
4 papers · 1 filter
Existence and uniqueness results for time-inhomogeneous time-change equations and Fokker--Planck equations
Leif Döring, Lukas Gonon, David J. Prömel +1
We prove existence and uniqueness of solutions to Fokker--Planck equations associated to Markov operators multiplicatively perturbed by degenerate time-inhomogeneous coefficients.…
Reservoir Computing Universality With Stochastic Inputs
Lukas Gonon, Juan-Pablo Ortega
The universal approximation properties with respect to -type criteria of three important families of reservoir computers with stochastic discrete-time semi-infinite inputs i…
Deep Hedging
Hans Bühler, Lukas Gonon, Josef Teichmann +1
We present a framework for hedging a portfolio of derivatives in the presence of market frictions such as transaction costs, market impact, liquidity constraints or risk limits usi…
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…