Philipp Schmocker

NeuralChaos: Optimal Adapted Approximation of Square Integrable Predictable Processes

Anastasis Kratsios, Giulia Livieri, Philipp Schmocker

We address fundamental challenges in representing and computing $\mathbb{R}^{d}$-valued predictable square-integrable processes over $[0,T]$, collected in the space $\mathcal{H}^2_T(\mathbb{R}^{d})$. These processes are central to continuous-time stochastic control, reinforcement…Read more