A deep learning approach to the probabilistic numerical solution of path-dependent partial differential equations (Q6114174): Difference between revisions

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scientific article; zbMATH DE number 7726382

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English	A deep learning approach to the probabilistic numerical solution of path-dependent partial differential equations	scientific article; zbMATH DE number 7726382

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instance of

scholarly article

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title

A deep learning approach to the probabilistic numerical solution of path-dependent partial differential equations (English)

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SN Partial Differential Equations and Applications

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publication date

14 August 2023

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full work available at URL

https://arxiv.org/abs/2209.15010

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zbMATH Keywords

path-dependent partial differential equations (PPDEs)

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deep neural networks

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numerical methods for PPDEs

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MaRDI profile type

Publication

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cites work

Reducing variance in the numerical solution of BSDEs

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Deep Splitting Method for Parabolic PDEs

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Numerical Simulations for Full History Recursive Multilevel Picard Approximations for Systems of High-Dimensional Partial 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

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Functional Itô calculus

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On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations

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On viscosity solutions of path dependent PDEs

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Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.

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Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II

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Deep signature FBSDE algorithm

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A probabilistic numerical method for fully nonlinear parabolic PDEs

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A regression-based Monte Carlo method to solve backward stochastic differential equations

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Solving high-dimensional partial differential equations using deep learning

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Deep backward schemes for high-dimensional nonlinear PDEs

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Deep Curve-Dependent PDEs for Affine Rough Volatility

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Neural network regression for Bermudan option pricing

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Neural networks-based backward scheme for fully nonlinear PDEs

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The value of an Asian option

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On the convergence of monotone schemes for path-dependent PDEs

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Comparison of Viscosity Solutions of Fully Nonlinear Degenerate Parabolic Path-Dependent PDEs

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DGM: a deep learning algorithm for solving partial differential equations

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Unbiased Deep Solvers for Linear Parametric PDEs

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Path-Dependent Deep Galerkin Method: A Neural Network Approach to Solve Path-Dependent Partial Differential Equations

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Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations

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A martingale approach for fractional Brownian motions and related path dependent PDEs

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Identifiers

zbMATH Open document ID

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10.1007/s42985-023-00255-x

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6114174

@@ Property / cites work @@
+Reducing variance in the numerical solution of BSDEs
+Normal rank
@@ Property / cites work @@
+Deep Splitting Method for Parabolic PDEs
@@ Property / cites work: Deep Splitting Method for Parabolic PDEs / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical Simulations for Full History Recursive Multilevel Picard Approximations for Systems of High-Dimensional Partial Differential Equations
+Normal rank
@@ Property / cites work @@
+Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Functional Itô calculus
@@ Property / cites work: Functional Itô calculus / rank @@
+Normal rank
@@ Property / cites work @@
+On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+On viscosity solutions of path dependent PDEs
@@ Property / cites work: On viscosity solutions of path dependent PDEs / rank @@
+Normal rank
@@ Property / cites work @@
+Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
+Normal rank
@@ Property / cites work @@
+Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II
+Normal rank
@@ Property / cites work @@
+Deep signature FBSDE algorithm
@@ Property / cites work: Deep signature FBSDE algorithm / rank @@
+Normal rank
@@ Property / cites work @@
+A probabilistic numerical method for fully nonlinear parabolic PDEs
+Normal rank
@@ Property / cites work @@
+A regression-based Monte Carlo method to solve backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Solving high-dimensional partial differential equations using deep learning
+Normal rank
@@ Property / cites work @@
+Deep backward schemes for high-dimensional nonlinear PDEs
+Normal rank
@@ Property / cites work @@
+Deep Curve-Dependent PDEs for Affine Rough Volatility
+Normal rank
@@ Property / cites work @@
+Neural network regression for Bermudan option pricing
+Normal rank
@@ Property / cites work @@
+Neural networks-based backward scheme for fully nonlinear PDEs
+Normal rank
@@ Property / cites work @@
+The value of an Asian option
@@ Property / cites work: The value of an Asian option / rank @@
+Normal rank
@@ Property / cites work @@
+On the convergence of monotone schemes for path-dependent PDEs
+Normal rank
@@ Property / cites work @@
+Comparison of Viscosity Solutions of Fully Nonlinear Degenerate Parabolic Path-Dependent PDEs
+Normal rank
@@ Property / cites work @@
+DGM: a deep learning algorithm for solving partial differential equations
+Normal rank
@@ Property / cites work @@
+Unbiased Deep Solvers for Linear Parametric PDEs
@@ Property / cites work: Unbiased Deep Solvers for Linear Parametric PDEs / rank @@
+Normal rank
@@ Property / cites work @@
+Path-Dependent Deep Galerkin Method: A Neural Network Approach to Solve Path-Dependent Partial Differential Equations
+Normal rank
@@ Property / cites work @@
+Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations
+Normal rank
@@ Property / cites work @@
+A martingale approach for fractional Brownian motions and related path dependent PDEs
+Normal rank