Deep learning algorithms for solving high-dimensional nonlinear backward stochastic differential equations (Q6201366)
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scientific article; zbMATH DE number 7807487
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| English | Deep learning algorithms for solving high-dimensional nonlinear backward stochastic differential equations |
scientific article; zbMATH DE number 7807487 |
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Deep learning algorithms for solving high-dimensional nonlinear backward stochastic differential equations (English)
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20 February 2024
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backward stochastic differential equations
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high-dimensional problems
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deep neural network
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recurrent neural network
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automatic differentiation
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additive discretization
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nonlinear option pricing
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