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Deep neural network expressivity for optimal stopping problems.
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- Finance & Stochastics, 2024, v. 28, n. 3, p. 865, doi. 10.1007/s00780-024-00538-0
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- Article
Reducing Obizhaeva–Wang-type trade execution problems to LQ stochastic control problems.
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- Finance & Stochastics, 2024, v. 28, n. 3, p. 813, doi. 10.1007/s00780-024-00537-1
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- Article
Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies.
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- Finance & Stochastics, 2024, v. 28, n. 3, p. 759, doi. 10.1007/s00780-024-00536-2
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- Article
Speeding up the Euler scheme for killed diffusions.
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- Finance & Stochastics, 2024, v. 28, n. 3, p. 663, doi. 10.1007/s00780-024-00534-4
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- Publication type:
- Article
Functional central limit theorems for rough volatility.
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- Finance & Stochastics, 2024, v. 28, n. 3, p. 615, doi. 10.1007/s00780-024-00533-5
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- Article
Duality in optimal consumption–investment problems with alternative data.
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- Finance & Stochastics, 2024, v. 28, n. 3, p. 709, doi. 10.1007/s00780-024-00535-3
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- Publication type:
- Article