Computation of optimal transport and related hedging problems via penalization and neural networks

Preprint English OPEN
Eckstein, Stephan ; Kupper, Michael (2018)
  • Subject: Mathematics - Optimization and Control | Statistics - Machine Learning | Quantitative Finance - Mathematical Finance

This paper presents a widely applicable approach to solving (multi-marginal, martingale) optimal transport and related problems via neural networks. The core idea is to penalize the optimization problem in its dual formulation and reduce it to a finite dimensional one w... View more
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