Generative OrnsteinUhlenbeck markets via geometric deep learning

DOI10.1007/978-3-031-38299-4_62arXiv2302.09176OpenAlexW4385434637MaRDI QIDQ6179065

Cody Blaine Hyndman, Anastasis Kratsios

Publication date: 16 January 2024

Published in: Lecture Notes in Computer Science (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2302.09176

zbMATH Keywords

mathematical financeGaussian measuresoptimal transportgeometric deep learningmarket generation

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Financial applications of other theories (91G80) Convergence of probability measures (60B10)

Cites Work

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• On a Formula for the L2 Wasserstein Metric between Measures on Euclidean and Hilbert Spaces
• Introduction to Stochastic Analysis and Malliavin Calculus
• Convex analysis and monotone operator theory in Hilbert spaces
• Universal regular conditional distributions via probabilistic transformers

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