Deep Splitting Method for Parabolic PDEs
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Publication:4958922
DOI10.1137/19M1297919zbMath1501.65054arXiv1907.03452OpenAlexW2954388788WikidataQ114074224 ScholiaQ114074224MaRDI QIDQ4958922
Ariel Neufeld, Sebastian Becker, Patrick Cheridito, Arnulf Jentzen, Christian Beck
Publication date: 15 September 2021
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1907.03452
Numerical methods (including Monte Carlo methods) (91G60) Artificial neural networks and deep learning (68T07) Monte Carlo methods (65C05) Nonlinear parabolic equations (35K55) Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Initial value problems for second-order parabolic equations (35K15) Numerical solution of discretized equations for initial value and initial-boundary value problems involving PDEs (65M22)
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