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