Continuous-time stochastic gradient descent for optimizing over the stationary distribution of stochastic differential equations
Year of publication: |
2024
|
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Authors: | Wang, Ziheng ; Sirignano, Justin |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial economics. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1467-9965, ZDB-ID 1481288-5. - Vol. 34.2024, 2, p. 348-424
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Subject: | machine learning | online optimization | Poisson equations | stochastic differential equations | stochastic gradient descent | Stochastischer Prozess | Stochastic process | Theorie | Theory | Analysis | Mathematical analysis | Mathematische Optimierung | Mathematical programming |
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