DNN expression rate analysis of high-dimensional PDEs: application to option pricing (Q2117328)

scientific article

Language	Label	Description	Also known as
default for all languages	No label defined
English	DNN expression rate analysis of high-dimensional PDEs: application to option pricing	scientific article

Statements

instance of

scholarly article

0 references

title

DNN expression rate analysis of high-dimensional PDEs: application to option pricing (English)

0 references

0 references

0 references

0 references

0 references

Constructive Approximation

0 references

publication date

21 March 2022

0 references

full work available at URL

https://arxiv.org/abs/1809.07669

0 references

zbMATH Keywords

neural network approximation

0 references

low-rank approximation

0 references

option pricing

0 references

high-dimensional PDEs

0 references

describes a project that uses

DGM

0 references

MaRDI profile type

MaRDI publication profile

0 references

cites work

Universal approximation bounds for superpositions of a sigmoidal function

0 references

Solving the Kolmogorov PDE by means of deep learning

0 references

Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations

0 references

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

0 references

Optimal approximation with sparsely connected deep neural networks

0 references

Neural Networks for Localized Approximation

0 references

Approximation by superpositions of a sigmoidal function

0 references

Deep Neural Network Approximation Theory

0 references

Functional Integration and Partial Differential Equations. (AM-109)

0 references

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

0 references

Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models

0 references

Deep learning

0 references

Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models

0 references

Loss of regularity for Kolmogorov equations

0 references

Solving high-dimensional partial differential equations using deep learning

0 references

A proof that rectified deep neural networks overcome the curse of dimensionality in the numerical approximation of semilinear heat equations

0 references

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

0 references

Solving parametric PDE problems with artificial neural networks

0 references

Mathematical models of financial derivatives

0 references

A machine learning framework for data driven acceleration of computations of differential equations

0 references

Optimal approximation of piecewise smooth functions using deep ReLU neural networks

0 references

Q4938227

0 references

Rectified deep neural networks overcome the curse of dimensionality for nonsmooth value functions in zero-sum games of nonlinear stiff systems

0 references

Nonparametric regression using deep neural networks with ReLU activation function

0 references

Deep learning in high dimension: neural network expression rates for generalized polynomial chaos expansions in UQ

0 references

DGM: a deep learning algorithm for solving partial differential equations

0 references

The deep Ritz method: a deep learning-based numerical algorithm for solving variational problems

0 references

Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations

0 references

Paul Wilmott introduces quantitative finance. With CD-ROM

0 references

Error bounds for approximations with deep ReLU networks

0 references

Identifiers

zbMATH Open document ID

1500.35009

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

0 references

0 references

0 references

0 references

0 references

0 references

10.1007/S00365-021-09541-6

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:2117328