Julian Sester

Publication Activity (10 Years)

Years Active: 2021-2024
Publications (10 Years): 10

Top Topics

Function Approximation

Markov Decision Process

Top Venues

SIAM J. Financial Math.

IEEE Trans. Inf. Theory

Publications

Ariel Neufeld, Julian Sester
Robust Q-learning algorithm for Markov decision processes under Wasserstein uncertainty. Autom. 168 (2024)
Cécile Decker, Julian Sester
Robust Q-Learning for finite ambiguity sets. CoRR (2024)
Ariel Neufeld, Julian Sester, Daiying Yin
Detecting Data-Driven Robust Statistical Arbitrage Strategies with Deep Neural Networks. SIAM J. Financial Math. 15 (2) (2024)
Ariel Neufeld, Julian Sester
Neural networks can detect model-free static arbitrage strategies. CoRR (2023)
Ariel Neufeld, Julian Sester
A Deep Learning Approach to Data-Driven Model-Free Pricing and to Martingale Optimal Transport. IEEE Trans. Inf. Theory 69 (5) (2023)
Ariel Neufeld, Julian Sester, Mario Sikic
Markov Decision Processes under Model Uncertainty. CoRR (2022)
Ariel Neufeld, Julian Sester, Daiying Yin
Detecting data-driven robust statistical arbitrage strategies with deep neural networks. CoRR (2022)
Ariel Neufeld, Julian Sester
Robust Q-learning Algorithm for Markov Decision Processes under Wasserstein Uncertainty. CoRR (2022)
Ariel Neufeld, Julian Sester
Model-Free Price Bounds Under Dynamic Option Trading. SIAM J. Financial Math. 12 (4) (2021)
Ariel Neufeld, Julian Sester
A deep learning approach to data-driven model-free pricing and to martingale optimal transport. CoRR (2021)