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High Rank Path Development: an approach of learning the filtration of stochastic processes
Since the weak convergence for stochastic processes does not account for the growth of information over time which is represented by the underlying filtration, a slightly erroneous stochastic model in weak topology may cause huge loss in multi-periods decision making problems.
Generative Modelling of Lévy Area for High Order SDE Simulation
In this paper, we propose L\'{e}vyGAN, a deep-learning-based model for generating approximate samples of L\'{e}vy area conditional on a Brownian increment.
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