-
Langevin algorithms for Markovian Neural Networks and Deep Stochastic control
The dataset used in the paper is a stochastic control problem, where the control is parametrized by a neural network calibrated by gradient descent. -
Stochastic Model Predictive Control - a Simulation Example
A simple linear system subject to uncertainty serves as an example. The Matlab code for this stochastic Model Predictive Control example is available online. -
Relative Arbitrage: Sharp Time Horizons and Motion by Curvature
The dataset is used to study the minimal time horizon over which any equity market with d stocks and sufficiently intrinsic volatility admits relative arbitrage with respect to... -
Learning to reflect
The dataset is used for learning to reflect data-driven stochastic control strategies.
