Ariel Neufeld

Available identifiers

zbMath Open neufeld.ariel-davidMaRDI QIDQ388915

List of research outcomes

Publication	Date of Publication	Type
A Deep Learning Approach to Data-Driven Model-Free Pricing and to Martingale Optimal Transport	2024-03-19	Paper
Binary spatial random field reconstruction from non-Gaussian inhomogeneous time-series observations	2024-02-13	Paper
Markov decision processes under model uncertainty	2024-01-31	Paper
Universal Approximation Property of Random Neural Networks	2023-12-13	Paper
Rectified deep neural networks overcome the curse of dimensionality when approximating solutions of McKean--Vlasov stochastic differential equations	2023-12-12	Paper
Multilevel Picard approximations overcome the curse of dimensionality in the numerical approximation of general semilinear PDEs with gradient-dependent nonlinearities	2023-11-20	Paper
An efficient Monte Carlo scheme for Zakai equations	2023-11-01	Paper
Deep ReLU neural networks overcome the curse of dimensionality when approximating semilinear partial integro-differential equations	2023-10-24	Paper
Bounding the Difference between the Values of Robust and Non-Robust Markov Decision Problems	2023-08-10	Paper
Chaotic Hedging with Iterated Integrals and Neural Networks	2022-09-21	Paper
Multilevel Picard approximation algorithm for semilinear partial integro-differential equations and its complexity analysis	2022-05-19	Paper
Numerical method for approximately optimal solutions of two-stage distributionally robust optimization with marginal constraints	2022-05-11	Paper
Improved Robust Price Bounds for Multi-Asset Derivatives under Market-Implied Dependence Information	2022-04-03	Paper
On the stability of the martingale optimal transport problem: a set-valued map approach	2021-11-12	Paper
Model-Free Price Bounds Under Dynamic Option Trading	2021-11-05	Paper
Deep Splitting Method for Parabolic PDEs	2021-09-15	Paper
Duality theory for robust utility maximisation	2021-08-27	Paper
Nonlocal Bertrand and Cournot mean field games with general nonlinear demand schedule	2021-03-10	Paper
Strong error analysis for stochastic gradient descent optimization algorithms	2021-02-24	Paper
Deep learning based numerical approximation algorithms for stochastic partial differential equations and high-dimensional nonlinear filtering problems	2020-12-02	Paper
Pathwise superhedging on prediction sets	2019-12-27	Paper
Nonconcave robust optimization with discrete strategies under Knightian uncertainty	2019-11-27	Paper
Stochastic integration and differential equations for typical paths	2019-09-19	Paper
Low-Rank plus Sparse Decomposition of Covariance Matrices using Neural Network Parametrization	2019-08-01	Paper
Compactness criterion for semimartingale laws and semimartingale optimal transport	2019-07-03	Paper
BUY-AND-HOLD PROPERTY FOR FULLY INCOMPLETE MARKETS WHEN SUPER-REPLICATING MARKOVIAN CLAIMS	2019-01-10	Paper
Robust Utility Maximization in Discrete-Time Markets with Friction	2018-06-01	Paper
Super‐replication in fully incomplete markets	2018-05-25	Paper
ROBUST UTILITY MAXIMIZATION WITH LÉVY PROCESSES	2018-04-13	Paper
Nonlinear Lévy processes and their characteristics	2016-10-18	Paper
Measurability of semimartingale characteristics with respect to the probability law	2014-09-04	Paper
Superreplication under volatility uncertainty for measurable claims	2014-01-17	Paper
A Note on Asymptotic Exponential Arbitrage with Exponentially Decaying Failure Probability	2013-10-17	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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