Julian Sester

12 papers Journal 12
YearRankTypeTitle / Venue / Authors
2025 J jnl
Bounding the difference between the values of robust and non-robust Markov decision problems.
J. Appl. Probab.
Ariel Neufeld, Julian Sester
2025 J jnl
Distributionally Robust Deep Q-Learning.
CoRR
Chung I Lu, Julian Sester, Aijia Zhang
2024 J jnl
Detecting Data-Driven Robust Statistical Arbitrage Strategies with Deep Neural Networks.
SIAM J. Financial Math.
Ariel Neufeld, Julian Sester, Daiying Yin
2024 J jnl
Robust Q-Learning for finite ambiguity sets.
CoRR
Cécile Decker, Julian Sester
2024 J jnl
Robust Q-learning algorithm for Markov decision processes under Wasserstein uncertainty.
Autom.
Ariel Neufeld, Julian Sester
2023 J jnl
A Deep Learning Approach to Data-Driven Model-Free Pricing and to Martingale Optimal Transport.
IEEE Trans. Inf. Theory
Ariel Neufeld, Julian Sester
2023 J jnl
Neural networks can detect model-free static arbitrage strategies.
CoRR
Ariel Neufeld, Julian Sester
2022 J jnl
Detecting data-driven robust statistical arbitrage strategies with deep neural networks.
CoRR
Ariel Neufeld, Julian Sester, Daiying Yin
2022 J jnl
Markov Decision Processes under Model Uncertainty.
CoRR
Ariel Neufeld, Julian Sester, Mario Sikic
2022 J jnl
Robust Q-learning Algorithm for Markov Decision Processes under Wasserstein Uncertainty.
CoRR
Ariel Neufeld, Julian Sester
2021 J jnl
A deep learning approach to data-driven model-free pricing and to martingale optimal transport.
CoRR
Ariel Neufeld, Julian Sester
2021 J jnl
Model-Free Price Bounds Under Dynamic Option Trading.
SIAM J. Financial Math.
Ariel Neufeld, Julian Sester