Related papers: Deep ReLU Network Expression Rates for Option Pric…

This paper explores the application of Machine Learning techniques for pricing high-dimensional options within the framework of the Uncertain Volatility Model (UVM). The UVM is a robust framework that accounts for the inherent…

We consider a data-driven newsvendor problem, where one has access to past demand data and the associated feature information. We solve the problem by estimating the target quantile function using a deep neural network (DNN). The remarkable…

We consider the problem of valuing a European option written on an asset whose dynamics are described by an exponential L\'evy-type model. In our framework, both the volatility and jump-intensity are allowed to vary stochastically in time…

Deep neural networks (DNNs) trained with the logistic loss (i.e., the cross entropy loss) have made impressive advancements in various binary classification tasks. However, generalization analysis for binary classification with DNNs and…

This article contributes to the current statistical theory of deep neural networks (DNNs). It was shown that DNNs are able to circumvent the so--called curse of dimensionality in case that suitable restrictions on the structure of the…

Option pricing is a significant problem for option risk management and trading. In this article, we utilize a framework to present financial data from different sources. The data is processed and represented in a form of 2D tensors in three…

We study the approximation rates of a class of deep neural network approximations of operators which arise as data-to-solution maps $\mathcal{S}$ of linear elliptic partial differential equations (PDEs), and act between pairs $X,Y$ of…

In this paper we consider Deep Neural Networks (DNNs) with a smooth activation function as surrogates for high-dimensional functions that are somewhat smooth but costly to evaluate. We consider the standard (non-periodic) DNNs as well as…

This paper establishes statistical properties of deep neural network (DNN) estimators under dependent data. Two general results for nonparametric sieve estimators directly applicable to DNN estimators are given. The first establishes rates…

Deep neural networks (DNNs) are valuable assets, yet their public accessibility raises security concerns about parameter extraction by malicious actors. Recent work by Carlini et al. (crypto'20) and Canales-Mart\'inez et al. (eurocrypt'24)…

We study the classical binary classification problem for hypothesis spaces of Deep Neural Networks (DNNs) under Tsybakov's low-noise condition with exponent $q>0$, as well as its limit case $q=\infty$, which we refer to as the \emph{hard…

It is well-known that modern neural networks are vulnerable to adversarial examples. To mitigate this problem, a series of robust learning algorithms have been proposed. However, although the robust training error can be near zero via some…

We prove sharp dimension-free representation results for neural networks with $D$ ReLU layers under square loss for a class of functions $\mathcal{G}_D$ defined in the paper. These results capture the precise benefits of depth in the…

Deep Neural Networks (DNNs) have emerged as a powerful mechanism and are being increasingly deployed in real-world safety-critical domains. Despite the widespread success, their complex architecture makes proving any formal guarantees about…

Understanding the representational power of Deep Neural Networks (DNNs) and how their structural properties (e.g., depth, width, type of activation unit) affect the functions they can compute, has been an important yet challenging question…

In the present work, a novel second-order approximation for ATM option prices is derived for a large class of exponential L\'{e}vy models with or without Brownian component. The results hereafter shed new light on the connection between…

It is commonly recognized that the expressiveness of deep neural networks is contingent upon a range of factors, encompassing their depth, width, and other relevant considerations. Currently, the practical performance of the majority of…

In this paper, we study the properties of robust nonparametric estimation using deep neural networks for regression models with heavy tailed error distributions. We establish the non-asymptotic error bounds for a class of robust…

Extracting the risk neutral density (RND) function from option prices is well defined in principle, but is very sensitive to errors in practice. For risk management, knowledge of the entire RND provides more information for Value-at-Risk…

Extending gradient-type turbulence closures to turbulent premixed flames is challenging due to the significant influence of combustion heat release. We incorporate a deep neural network (DNN) into Reynolds-averaged Navier--Stokes (RANS)…