Highly Influential Citations123
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Deep neural networks currently demonstrate state-of-the-art performance in several domains. At the same time, models of this class are very demanding in terms of computational resources. In… Continue Reading
We discuss a solution of the optimal stopping problem for the case when a reward function is a power function of a process with independent stationary increments (random walks or Levy processes) on… Continue Reading
Convolutional neural networks excel in image recognition tasks, but this comes at the cost of high computational and memory complexity. To tackle this problem,  developed a tensor factorization… Continue Reading
We discuss a simple new approach to calculating expectations of a specific form used for the pricing of derivative assets in financial mathematics. We show that in the 'vanilla case', the… Continue Reading
Using the Girsanov transformation we derive estimates for the accuracy of piecewise approximations for one-sided and two-sided boundary crossing probabilities. We demonstrate that piecewise linear… Continue Reading