Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations (Q2327815): Difference between revisions
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Revision as of 08:31, 29 February 2024
scientific article
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| English | Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations |
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Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations (English)
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8 October 2019
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deep learning
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second-order backward stochastic differential equation
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2BSDE
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numerical method
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Black-Scholes-Barenblatt equation
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Knightian uncertainty
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Hamiltonian-Jacobi-Bellman equation
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HJB equation
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nonlinear expectation
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\(G\)-Brownian motion
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