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Stochastic Gradient Descent in Continuous time
Justin Sirignano
, Konstantinos Spiliopoulos
Industrial and Enterprise Systems Engineering
Coordinated Science Lab
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Keyphrases
American Options
25%
Applications in Finance
12%
Bond Interest Rates
12%
Continuous Dynamics
12%
Continuous Streams
12%
Continuous-time
100%
Continuous-time Algorithm
12%
Continuous-time Model
25%
Convergence Proof
12%
Deep Neural Network
12%
Descent Direction
12%
Financial Derivatives
12%
Interest Rate Derivatives
12%
Model Estimation
12%
Online Parameters
12%
Parameter Update
12%
Poisson Equation
12%
Statistical Learning
12%
Stochastic Gradient Algorithm
12%
Stochastic Gradient Descent
100%
Time Problem
12%
Mathematics
American Option
20%
Continuous Time
100%
Continuous Time Model
20%
Deep Neural Network
10%
Descent Direction
10%
Ergodicity
10%
Objective Function
10%
Poisson Equation
10%
Stochastics
100%
Chemical Engineering
Deep Neural Network
100%