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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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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