Stochastic optimal control has become a critical framework for addressing decision-making problems under uncertainty, especially in the context of financial market models. By combining probabilistic ...

Stochastic processes provide a probabilistic framework to model the time-evolving uncertainty intrinsic to financial markets. By characterising random movements such as asset prices, interest rates ...

The paper presents a Bayesian framework for the calibration of financial models using neural stochastic differential equations (neural SDEs), for which we also formulate a global universal ...