Neural Expectation Operators are defined as solutions of BSDEs with neural-network drivers; the paper proves well-posedness under local Lipschitz and quadratic growth assumptions and gives architectural constraints for convexity and monotonicity.
, Delyon , Bernard B
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Neural Expectation Operators
Neural Expectation Operators are defined as solutions of BSDEs with neural-network drivers; the paper proves well-posedness under local Lipschitz and quadratic growth assumptions and gives architectural constraints for convexity and monotonicity.