# A new architecture of high-order deep neural networks that learn martingales

arXiv: https://arxiv.org/abs/2505.03789 · HTML: https://mlsanity.com/paper/2505.03789/

## Key facts

- No citing papers in the map yet (data through 14 Oct 2026).
- Builds on 3 of its 29 references that are in the map.
- First posted on arXiv 1 May 2025.

## Builds on (most cited first, 3 of 3)

- [Deep Residual Learning for Image Recognition](https://mlsanity.com/paper/1512.03385/) (2015)
- [Neural Ordinary Differential Equations](https://mlsanity.com/paper/1806.07366/) (2018)
- [Deep Hedging](https://mlsanity.com/paper/1802.03042/) (2018)

## Abstract (arXiv)

A new deep-learning neural network architecture based on high-order weak approximation algorithms for stochastic differential equations (SDEs) is proposed. The architecture enables the efficient learning of martingales by deep learning models. The behaviour of deep neural networks based on this architecture, when applied to the problem of pricing financial derivatives, is also examined. The core of this new architecture lies in the high-order weak approximation algorithms of the explicit Runge--Kutta type, wherein the approximation is realised solely through iterative compositions and linear combinations of vector fields of the target SDEs.