Control variate method for deep BSDE solver using weak approximation (Q6054320)

scientific article; zbMATH DE number 7742992

Language	Label	Description	Also known as
English	Control variate method for deep BSDE solver using weak approximation	scientific article; zbMATH DE number 7742992

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instance of

scholarly article

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title

Control variate method for deep BSDE solver using weak approximation (English)

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author

Yoshifumi Tsuchida

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published in

Asia-Pacific Financial Markets

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publication date

28 September 2023

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zbMATH Keywords

asymptotic expansion

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backward stochastic differential equation

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control variate method

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deep BSDE solver

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deep learning

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weak approximation

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s10690-022-09374-8

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cites work

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

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Backward Stochastic Differential Equations in Finance

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

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Convergence of the deep BSDE method for coupled FBSDEs

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Solving many-electron Schrödinger equation using deep neural networks

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Solving high-dimensional eigenvalue problems using deep neural networks: a diffusion Monte Carlo like approach

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Operator splitting around Euler–Maruyama scheme and high order discretization of heat kernels

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Q4004325

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On validity of the asymptotic expansion approach in contingent claim analysis

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Variational training of neural network approximations of solution maps for physical models

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A third-order weak approximation of multidimensional Itô stochastic differential equations

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A higher order weak approximation of McKean-Vlasov type SDEs

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The Malliavin Calculus and Related Topics

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Physics-informed neural networks: a deep learning framework for solving forward and inverse problems involving nonlinear partial differential equations

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A cubature based algorithm to solve decoupled McKean-Vlasov forward-backward stochastic differential equations

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An Asymptotic Expansion with Push-Down of Malliavin Weights

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A weak approximation with asymptotic expansion and multidimensional Malliavin weights

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A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for deep BSDE solver

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An Arbitrary High Order Weak Approximation of SDE and Malliavin Monte Carlo: Analysis of Probability Distribution Functions

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High order weak approximation for irregular functionals of time-inhomogeneous SDEs

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Short Communication: A Gaussian Kusuoka Approximation without Solving Random ODEs

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Second Order Discretization of Bismut--Elworthy--Li Formula: Application to Sensitivity Analysis

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A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing

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Backward Stochastic Differential Equations

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Identifiers

zbMATH Open document ID

1521.91390

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Mathematics Subject Classification ID

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10.1007/S10690-022-09374-8

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Sitelinks

Mathematics(1 entry)

mardi Publication:6054320