Deep neural network expressivity for optimal stopping problems
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Stopping times; optimal stopping problems; gambling theory (60G40) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Neural nets and related approaches to inference from stochastic processes (62M45) Artificial neural networks and deep learning (68T07) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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Cites work
- A Proof that Artificial Neural Networks Overcome the Curse of Dimensionality in the Numerical Approximation of Black–Scholes Partial Differential Equations
- A proof that rectified deep neural networks overcome the curse of dimensionality in the numerical approximation of semilinear heat equations
- An analysis of a least squares regression method for American option pricing
- An overview on deep learning-based approximation methods for partial differential equations
- Analysis of the generalization error: empirical risk minimization over deep artificial neural networks overcomes the curse of dimensionality in the numerical approximation of Black-Scholes partial differential equations
- Convergence and biases of Monte Carlo estimates of American option prices using a parametric exercise rule
- Deep hedging
- Deep learning of free boundary and Stefan problems
- Deep optimal stopping
- Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models
- Deep ReLU networks and high-order finite element methods
- Deep ReLU neural networks overcome the curse of dimensionality for partial integrodifferential equations
- DGM: a deep learning algorithm for solving partial differential equations
- DNN expression rate analysis of high-dimensional PDEs: application to option pricing
- Error bounds for approximations with deep ReLU networks
- Error bounds for approximations with deep ReLU neural networks in \(W^{s , p}\) norms
- Expressivity of Deep Neural Networks
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- Machine Learning and Data Sciences for Financial Markets
- Monte Carlo valuation of American options
- Monte-Carlo valuation of American options: facts and new algorithms to improve existing methods
- Neural network regression for Bermudan option pricing
- On the rates of convergence of simulation-based optimization algorithms for optimal stopping problems
- Optimal approximation of piecewise smooth functions using deep ReLU neural networks
- Optimal Stopping via Randomized Neural Networks
- Optimal stopping with signatures
- Pricing American Options: A Duality Approach
- Pricing Bermudan Options Using Regression Trees/Random Forests
- Pricing of high-dimensional American options by neural networks
- Proof that deep artificial neural networks overcome the curse of dimensionality in the numerical approximation of Kolmogorov partial differential equations with constant diffusion and nonlinear drift coefficients
- Provable approximation properties for deep neural networks
- Randomized Optimal Stopping Algorithms and Their Convergence Analysis
- Rectified deep neural networks overcome the curse of dimensionality for nonsmooth value functions in zero-sum games of nonlinear stiff systems
- Solving high-dimensional optimal stopping problems using deep learning
- Solving Kolmogorov PDEs without the curse of dimensionality via deep learning and asymptotic expansion with Malliavin calculus
- Stochastic finance. An introduction in discrete time.
- The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks
- TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO
- Uniform error estimates for artificial neural network approximations for heat equations
- Universal approximation bounds for superpositions of a sigmoidal function
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