Constrained Quadratic Risk Minimization via Forward and Backward Stochastic Differential Equations.
Yusong LiHarry ZhengPublished in: SIAM J. Control. Optim. (2018)
Keyphrases
- forward and backward
- risk minimization
- stochastic differential equations
- loss function
- brownian motion
- maximum a posteriori estimation
- generalization error
- pairwise
- objective function
- computational complexity
- dynamic programming
- additive gaussian noise
- model selection
- feature space
- vector valued
- transaction costs
- heavy traffic
- fractional brownian motion