Boundary-safe PINNs extension: application to non-linear parabolic PDEs in counterparty credit risk (Q6157931)

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Boundary-safe PINNs extension: application to non-linear parabolic PDEs in counterparty credit risk

scientific article; zbMATH DE number 7700243

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English	Boundary-safe PINNs extension: application to non-linear parabolic PDEs in counterparty credit risk	scientific article; zbMATH DE number 7700243

Statements

instance of

scholarly article

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title

Boundary-safe PINNs extension: application to non-linear parabolic PDEs in counterparty credit risk (English)

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author

Joel P. Villarino

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Álvaro Leitao

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José Antonio García-Rodríguez

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published in

Journal of Computational and Applied Mathematics

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publication date

22 June 2023

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full work available at URL

https://arxiv.org/abs/2210.02175

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zbMATH Keywords

deep learning

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PDEs

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PINNs

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boundary conditions

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nonlinear

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couterparty credit risk

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MaRDI profile type

MaRDI publication profile

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cites work

Deep learning

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The numerical solution of linear ordinary differential equations by feedforward neural networks

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Neural‐network‐based approximations for solving partial differential equations

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Optimization methods for large-scale machine learning

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PPINN: parareal physics-informed neural network for time-dependent PDEs

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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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DeepXDE: a deep learning library for solving differential equations

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Estimates on the generalization error of physics-informed neural networks for approximating a class of inverse problems for PDEs

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Error analysis for physics-informed neural networks (PINNs) approximating Kolmogorov PDEs

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Physics informed neural networks (PINNs) for approximating nonlinear dispersive PDEs

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Solving high-dimensional partial differential equations using deep learning

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Multilevel Picard iterations for solving smooth semilinear parabolic heat equations

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Overcoming the curse of dimensionality in the numerical approximation of semilinear parabolic partial differential equations

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Gradient-enhanced physics-informed neural networks for forward and inverse PDE problems

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Arbitrage-free valuation of bilateral counterparty risk for interest-rate products: impact of volatilities and correlations

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Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps

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Cross Currency Valuation and Hedging in the Multiple Curve Framework

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Affine multiple yield curve models

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Bilateral counterparty risk under funding constraints. II: CVA

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

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Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models

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On a neural network to extract implied information from American options

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On the convergence of physics informed neural networks for linear second-order elliptic and parabolic type PDEs

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Optimally weighted loss functions for solving PDEs with neural networks

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On the limited memory BFGS method for large scale optimization

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A comprehensive study of non-adaptive and residual-based adaptive sampling for physics-informed neural networks

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Q2934059

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Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement

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Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model

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Pricing Multi-Asset Options with Sparse Grids and Fourth Order Finite Differences

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A theory of the term structure of interest rates

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A closed-form solution for options with stochastic volatility with applications to bond and currency options

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Numerical methods to solve PDE models for pricing business companies in different regimes and implementation in GPUs

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PDE models and numerical methods for total value adjustment in European and American options with counterparty risk

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ADI finite difference schemes for option pricing in the Heston model with correlation

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Identifiers

Mathematics Subject Classification ID

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10.1016/J.CAM.2022.115041

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Sitelinks

Mathematics(1 entry)

mardi Publication:6157931