Neural stochastic differential equations for conditional time series generation using the Signature-Wasserstein-1 metric
Pere Díaz Lozano, Toni Lozano Bagén and Josep Vives
| Year of publication: |
2023
|
|---|---|
| Authors: | Díaz Lozano, Pere ; Lozano Bagén, Toni ; Vives, Josep |
| Published in: |
The journal of computational finance : JFC. - London : Infopro Digital Risk, ISSN 1755-2850, ZDB-ID 2091445-3. - Vol. 27.2023, 1, p. 1-23
|
| Subject: | conditional generative modeling | neural networks | expected signature | rough path theory | Wasserstein generative adversarial networks | neural stochastic differential equations | Neuronale Netze | Neural networks | Theorie | Theory | Stochastischer Prozess | Stochastic process | Analysis | Mathematical analysis | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2023.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014486922