Related papers: Deep neural network expressivity for optimal stopp…
We propose \textit{DeepMartingale}, a deep-learning framework for the dual formulation of discrete-monitoring optimal stopping problems under continuous-time models. Leveraging a martingale representation, our method implements a…
This paper presents a novel deep learning framework for solving multiple optimal stopping problems in high dimensions. While deep learning has recently shown promise for single stopping problems, the multiple exercise case involves complex…
Determining the optimal depth of a neural network is a fundamental yet challenging problem, typically resolved through resource-intensive experimentation. This paper introduces a formal theoretical framework to address this question by…
Discrete time stochastic optimal control problems and Markov decision processes (MDPs) are fundamental models for sequential decision-making under uncertainty and as such provide the mathematical framework underlying reinforcement learning…
This paper presents the benefits of using randomized neural networks instead of standard basis functions or deep neural networks to approximate the solutions of optimal stopping problems. The key idea is to use neural networks, where the…
Nowadays many financial derivatives, such as American or Bermudan options, are of early exercise type. Often the pricing of early exercise options gives rise to high-dimensional optimal stopping problems, since the dimension corresponds to…
This paper studies deep neural networks for solving extremely large linear systems arising from highdimensional problems. Because of the curse of dimensionality, it is expensive to store both the solution and right-hand side vector in such…
We analyze approximation rates by deep ReLU networks of a class of multi-variate solutions of Kolmogorov equations which arise in option pricing. Key technical devices are deep ReLU architectures capable of efficiently approximating tensor…
Let $\Omega = [0,1]^d$ be the unit cube in $\mathbb{R}^d$. We study the problem of how efficiently, in terms of the number of parameters, deep neural networks with the ReLU activation function can approximate functions in the Sobolev spaces…
Fully connected deep neural networks are successfully applied to classification and function approximation problems. By minimizing the cost function, i.e., finding the proper weights and biases, models can be built for accurate predictions.…
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…
We study the expressive power of deep ReLU neural networks for approximating functions in dilated shift-invariant spaces, which are widely used in signal processing, image processing, communications and so on. Approximation error bounds are…
We study optimal stopping problems related to the pricing of perpetual American options in an extension of the Black-Merton-Scholes model in which the dividend and volatility rates of the underlying risky asset depend on the running values…
We prove deep neural network (DNN for short) expressivity rate bounds for solution sets of a model class of singularly perturbed, elliptic two-point boundary value problems, in Sobolev norms, on the bounded interval $(-1,1)$. We assume that…
We propose a deep learning algorithm for high dimensional optimal stopping problems. Our method is inspired by the penalty method for solving free boundary PDEs. Within our approach, the penalized PDE is approximated using the Deep BSDE…
We derive upper bounds on the complexity of ReLU neural networks approximating the solution maps of parametric partial differential equations. In particular, without any knowledge of its concrete shape, we use the inherent…
We study the expression rates of deep neural networks (DNNs for short) for option prices written on baskets of $d$ risky assets, whose log-returns are modelled by a multivariate L\'evy process with general correlation structure of jumps. We…
We demonstrate that deep neural networks with the ReLU activation function can efficiently approximate the solutions of various types of parametric linear transport equations. For non-smooth initial conditions, the solutions of these PDEs…
We study the interpolation power of deep ReLU neural networks. Specifically, we consider the question of how efficiently, in terms of the number of parameters, deep ReLU networks can interpolate values at $N$ datapoints in the unit ball…
Early stopping is a simple and widely used method to prevent over-training neural networks. We develop theoretical results to reveal the relationship between the optimal early stopping time and model dimension as well as sample size of the…