Computation of optimal transport and related hedging problems via penalization and neural networks

DOI10.1007/s00245-019-09558-1zbMath1462.49073arXiv1802.08539OpenAlexW3124391905WikidataQ128353357 ScholiaQ128353357MaRDI QIDQ2020305

Stephan Eckstein, Michael Kupper

Publication date: 23 April 2021

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1802.08539

zbMATH Keywords

numerical methoddualityrobust hedgingregularisationoptimal transportKnightian uncertaintydistributional robustnessfeedforward networks

Mathematics Subject Classification ID

Neural networks for/in biological studies, artificial life and related topics (92B20) Optimal transportation (49Q22)

Related Items (6)

Deep learning for constrained utility maximisation ⋮ Model-Free Price Bounds Under Dynamic Option Trading ⋮ Applications of weak transport theory ⋮ Martingale transport with homogeneous stock movements ⋮ Robust statistical arbitrage strategies ⋮ General construction and classes of explicit \(L^1\)-optimal couplings

Uses Software

• Gurobi
• TensorFlow
• Adam
• Wasserstein GAN

Cites Work

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