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Deep neural networks with ReLU, leaky ReLU, and softplus activation provably overcome the curse of dimensionality for Kolmogorov partial differential equations with Lipschitz nonlinearities in the $L^p$-sense
Recently, several deep learning (DL) methods for approximating high-dimensional partial differential equations (PDEs) have been proposed.
Self-exciting price impact via negative resilience in stochastic order books
Most of the existing literature on optimal trade execution in limit order book models assumes that resilience is positive.
Optimal trade execution in an order book model with stochastic liquidity parameters
We analyze an optimal trade execution problem in a financial market with stochastic liquidity.
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