DOI10.1016/j.amc.2021.126332MaRDI QIDQ2243318
Cornelis W. Oosterlee, Kristoffer Andersson
Publication date: 11 November 2021 Published in: Applied Mathematics and Computation (Search for Journal in Brave) Full work available at URL: https://arxiv.org/abs/2003.01977
zbMATH Keywords
optimal stopping; deep learning; XVA; expected exposure; potential future exposure
Mathematics Subject Classification ID
91Gxx: Actuarial science and mathematical finance
60Gxx: Stochastic processes
Uses Software