Deep signature FBSDE algorithm (Q6164091)

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scientific article; zbMATH DE number 7719448
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English
Deep signature FBSDE algorithm
scientific article; zbMATH DE number 7719448

    Statements

    title
    Deep signature FBSDE algorithm (English)
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    publication date
    26 July 2023
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    zbMATH Keywords
    forward-backward stochastic differential equations
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    signature
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    recurrent neural network
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    option pricing
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    cites work
    Q4905685
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    Q4029028
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    Algorithm 1004
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    Identifiers

    arXiv ID
    2108.10504
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    Mathematics Subject Classification ID
    65C30
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    60H35
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    91G20
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    91G60
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    zbMATH DE Number
    7719448
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    DOI
    10.3934/NACO.2022028
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