Derives a projected McKean-Vlasov SDE whose flow converges to the minimizer of entropic weak optimal transport in adapted Wasserstein space.
First order Martingale model risk and semi-static hedging
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Develops robust SGLD with non-asymptotic convergence bounds for non-convex DRO and applies it to neural network regression under adversarial corruption.
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Projected McKean--Vlasov Dynamics for Entropic Weak Optimal Transport
Derives a projected McKean-Vlasov SDE whose flow converges to the minimizer of entropic weak optimal transport in adapted Wasserstein space.
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Robust SGLD algorithm for solving non-convex distributionally robust optimisation problems
Develops robust SGLD with non-asymptotic convergence bounds for non-convex DRO and applies it to neural network regression under adversarial corruption.