Accelerating SDE simulation through learning of stochastic dynamics

DOI10.12941/JKSIAM.2024.28.256MaRDI QIDQ6908638zbMATH OpenFDO

Authors Seungwon Jeong, Jihun Kim, Jitae Jung, Jeonggyu Huh

Publication date 30 October 2025

Published in Journal of the Korean Society for Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.12941/JKSIAM.2024.28.256

zbMATH Keywords

deep learningMonte-Carlo simulationstochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Artificial neural networks and deep learning (68T07)

Cites work

• A fast algorithm for simulation of rough volatility models
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• Quant GANs: deep generation of financial time series
• Solving high-dimensional partial differential equations using deep learning
• Unbiased deep solvers for linear parametric PDEs
• Volatility is rough

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