Author

Jan Rems

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Preprint Sep 2026

Risk Measures under Paired-Ambiguity: A Deep Learning Reflected BSDE Framework

We study optimal stopping under dynamic risk measures with simultaneous ambiguity in the probability model and the discount rate. We introduce a paired ambiguity framework combining Girsanov model uncertainty with cash subadditive risk evaluation and characterize the stopping value by an upper reflected backward stocha...

N. Agram, Jan Rems, E. R. Gianin · 0 citations

Preprint Sep 2026

NeSTR: Neural S-Transform Reconstruction for Gaussian SPDEs

We introduce Neural $S$-Transform Reconstruction (NeSTR) for Gaussian stochastic partial differential equations (SPDEs). The learned object is not the random solution itself, but its $S$-Transform on a finite dimensional subspace of the white noise test space. For Wick type SPDEs, NeSTR yields a deterministic parametri...

N. Agram, F. Benth, Jan Rems · 0 citations