Neural networks in non-metric spaces

Leveraging the infinite dimensional neural network architecture we proposed in arXiv:2109.13512v4 and which can process inputs from Fr\'echet spaces, and using the universal approximation property shown therein, we now largely extend the scope of this architecture by proving several universal approximation theorems for a vast class of input and output spaces. More precisely, the input space $\mathfrak X$ is allowed to be a general topological space satisfying only a mild condition ("quasi-Polish"), and the output space can be either another quasi-Polish space $\mathfrak Y$ or a topological vector space $E$. Similarly to arXiv:2109.13512v4, we show furthermore that our neural network architectures can be projected down to "finite dimensional" subspaces with any desirable accuracy, thus obtaining approximating networks that are easy to implement and allow for fast computation and fitting. The resulting neural network architecture is therefore applicable for prediction tasks based on functional data. To the best of our knowledge, this is the first result which deals with such a wide class of input/output spaces and simultaneously guarantees the numerical feasibility of the ensuing architectures. Finally, we prove an obstruction result which indicates that the category of quasi-Polish spaces is in a certain sense the correct category to work with if one aims at constructing approximating architectures on infinite-dimensional spaces $\mathfrak X$ which, at the same time, have sufficient expressive power to approximate continuous functions on $\mathfrak X$, are specified by a finite number of parameters only and are "stable" with respect to these parameters.

Low-dimensional approximations of the conditional law of Volterra processes: a non-positive curvature approach

Predicting the conditional evolution of Volterra processes with stochastic volatility is a crucial challenge in mathematical finance. While deep neural network models offer promise in approximating the conditional law of such processes, their effectiveness is hindered by the curse of dimensionality caused by the infinite dimensionality and non-smooth nature of these problems. To address this, we propose a two-step solution. Firstly, we develop a stable dimension reduction technique, projecting the law of a reasonably broad class of Volterra process onto a low-dimensional statistical manifold of non-positive sectional curvature. Next, we introduce a sequentially deep learning model tailored to the manifold's geometry, which we show can approximate the projected conditional law of the Volterra process. Our model leverages an auxiliary hypernetwork to dynamically update its internal parameters, allowing it to encode non-stationary dynamics of the Volterra process, and it can be interpreted as a gating mechanism in a mixture of expert models where each expert is specialized at a specific point in time. Our hypernetwork further allows us to achieve approximation rates that would seemingly only be possible with very large networks.

Designing Universal Causal Deep Learning Models: The Case of Infinite-Dimensional Dynamical Systems from Stochastic Analysis

Deep learning (DL) is becoming indispensable to contemporary stochastic analysis and finance; nevertheless, it is still unclear how to design a principled DL framework for approximating infinite-dimensional causal operators. This paper proposes a "geometry-aware" solution to this open problem by introducing a DL model-design framework that takes a suitable infinite-dimensional linear metric spaces as inputs and returns a universal sequential DL models adapted to these linear geometries: we call these models Causal Neural Operators (CNO). Our main result states that the models produced by our framework can uniformly approximate on compact sets and across arbitrarily finite-time horizons H\"older or smooth trace class operators which causally map sequences between given linear metric spaces. Consequentially, we deduce that a single CNO can efficiently approximate the solution operator to a broad range of SDEs, thus allowing us to simultaneously approximate predictions from families of SDE models, which is vital to computational robust finance. We deduce that the CNO can approximate the solution operator to most stochastic filtering problems, implying that a single CNO can simultaneously filter a family of partially observed stochastic volatility models.

Pricing options on flow forwards by neural networks in Hilbert space

We propose a new methodology for pricing options on flow forwards by applying infinite-dimensional neural networks. We recast the pricing problem as an optimization problem in a Hilbert space of real-valued function on the positive real line, which is the state space for the term structure dynamics. This optimization problem is solved by facilitating a novel feedforward neural network architecture designed for approximating continuous functions on the state space. The proposed neural net is built upon the basis of the Hilbert space. We provide an extensive case study that shows excellent numerical efficiency, with superior performance over that of a classical neural net trained on sampling the term structure curves.