Lukas Gonon
Lukas Gonon
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Zitiert von
Zitiert von
Deep hedging
H Buehler, L Gonon, J Teichmann, B Wood
Quantitative Finance 19 (8), 1271-1291, 2019
Reservoir computing universality with stochastic inputs
L Gonon, JP Ortega
IEEE transactions on neural networks and learning systems 31 (1), 100-112, 2019
Online model estimation of ultra-wideband TDOA measurements for mobile robot localization
A Prorok, L Gonon, A Martinoli
2012 IEEE International Conference on Robotics and Automation, 807-814, 2012
Overcoming the curse of dimensionality in the numerical approximation of high-dimensional semilinear elliptic partial differential equations
C Beck, L Gonon, A Jentzen
arXiv preprint arXiv:2003.00596, 2020
Deep hedging: hedging derivatives under generic market frictions using reinforcement learning
H Buehler, L Gonon, J Teichmann, B Wood, B Mohan, J Kochems
Swiss Finance Institute Research Paper, 2019
Approximation bounds for random neural networks and reservoir systems
L Gonon, L Grigoryeva, JP Ortega
arXiv preprint arXiv:2002.05933, 2020
Risk bounds for reservoir computing
L Gonon, L Grigoryeva, JP Ortega
Journal of Machine Learning Research (JMLR) 21, 2020
Uniform error estimates for artificial neural network approximations for heat equations
L Gonon, P Grohs, A Jentzen, D Kofler, D Šiška
arXiv preprint arXiv:1911.09647, 2019
Discrete-time signatures and randomness in reservoir computing
C Cuchiero, L Gonon, L Grigoryeva, JP Ortega, J Teichmann
IEEE Transactions on Neural Networks and Learning Systems, 2021
Deep ReLU Network Expression Rates for Option Prices in high-dimensional, exponential L\'evy models
L Gonon, C Schwab
arXiv preprint arXiv:2101.11897, 2021
Fading memory echo state networks are universal
L Gonon, JP Ortega
Neural Networks 138, 10-13, 2021
Asset pricing with general transaction costs: Theory and numerics
L Gonon, J Muhle‐Karbe, X Shi
Mathematical Finance 31 (2), 595-648, 2021
On Skorokhod embeddings and Poisson equations
L Döring, L Gonon, DJ Prömel, O Reichmann
The Annals of Applied Probability 29 (4), 2302-2337, 2019
Memory and forecasting capacities of nonlinear recurrent networks
L Gonon, L Grigoryeva, JP Ortega
Physica D: Nonlinear Phenomena 414, 132721, 2020
On existence and uniqueness properties for solutions of stochastic fixed point equations
C Beck, L Gonon, M Hutzenthaler, A Jentzen
arXiv preprint arXiv:1908.03382, 2019
Deep relu neural network approximation for stochastic differential equations with jumps
L Gonon, C Schwab
arXiv preprint arXiv:2102.11707, 2021
Linearized filtering of affine processes using stochastic Riccati equations
L Gonon, J Teichmann
Stochastic Processes and their Applications 130 (1), 394-430, 2020
Existence and uniqueness results for time-inhomogeneous time-change equations and Fokker–Planck equations
L Döring, L Gonon, DJ Prömel, O Reichmann
Journal of Theoretical Probability 34 (1), 173-205, 2021
Deep ReLU neural networks overcome the curse of dimensionality for partial integrodifferential equations
L Gonon, C Schwab
arXiv preprint arXiv:2102.11707, 2021
Weak error analysis for stochastic gradient descent optimization algorithms
A Bercher, L Gonon, A Jentzen, D Salimova
arXiv preprint arXiv:2007.02723, 2020
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