Asymptotic expansion as prior knowledge in deep learning method for high dimensional BSDEs

DOI10.1007/S10690-019-09271-7zbMath1422.91694arXiv1710.07030OpenAlexW3009461225WikidataQ128129492 ScholiaQ128129492MaRDI QIDQ2326984

Masaaki Fujii, Akihiko Takahashi, Masayuki Takahashi

Publication date: 11 October 2019

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1710.07030

zbMATH Keywords

asymptotic expansionAmerican optionBSDEsdeep learningdeep BSDE solverborrowing ratesdifferent lendingFVAhigh dimensional BSDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Learning and adaptive systems in artificial intelligence (68T05) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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Uses Software

• Adam

Cites Work

• Numerical simulation of quadratic BSDEs
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