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
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
Reservoir computing universality with stochastic inputs
L Gonon, JP Ortega
IEEE transactions on neural networks and learning systems 31 (1), 100-112, 2019
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
Risk bounds for reservoir computing
L Gonon, L Grigoryeva, JP Ortega
arXiv preprint arXiv:1910.13886, 2019
Asset pricing with general transaction costs: Theory and numerics
L Gonon, J Muhle-Karbe, X Shi
Available at SSRN 3387232, 2020
Approximation bounds for random neural networks and reservoir systems
L Gonon, L Grigoryeva, JP Ortega
arXiv preprint arXiv:2002.05933, 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
On Skorokhod embeddings and Poisson equations
L Döring, L Gonon, DJ Prömel, O Reichmann
The Annals of Applied Probability 29 (4), 2302-2337, 2019
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
Memory and forecasting capacities of nonlinear recurrent networks
L Gonon, L Grigoryeva, JP Ortega
arXiv preprint arXiv:2004.11234, 2020
Linearized filtering of affine processes using stochastic Riccati equations
L Gonon, J Teichmann
Stochastic Processes and their Applications 130 (1), 394-430, 2020
Fading memory echo state networks are universal
L Gonon, JP Ortega
arXiv preprint arXiv:2010.12047, 2020
Discrete-time signatures and randomness in reservoir computing
C Cuchiero, L Gonon, L Grigoryeva, JP Ortega, J Teichmann
arXiv preprint arXiv:2010.14615, 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, 1-33, 2019
Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models
L Gonon, C Schwab
SAM Research Report 2020, 2020
Weak error analysis for stochastic gradient descent optimization algorithms
A Bercher, L Gonon, A Jentzen, D Salimova
arXiv preprint arXiv:2007.02723, 2020
Calibration, Filtering and Hedging: Non-Linear Information Processing in Mathematical Finance
L Gonon
ETH Zurich, 2018
Evolution of firm size
L Gonon, LCG Rogers
International Journal of Theoretical and Applied Finance 17 (05), 1450031, 2014
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