A proof that artificial neural networks overcome the curse of dimensionality in the numerical approximation of Black-Scholes partial differential equations

DOI10.1090/MEMO/1410arXiv1809.02362MaRDI QIDQ6306376

Arnulf Jentzen, Philippe von Wurstemberger, Philipp Grohs, Fabian Hornung

Publication date: 7 September 2018

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to numerical analysis (65-02) Stochastic analysis (60Hxx) Numerical approximation and computational geometry (primarily algorithms) (65D99) Parabolic equations and parabolic systems (35Kxx)

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