scientific article; zbMATH DE number 7499615

DOI10.4134/JKMS.j210168zbMath1485.60077MaRDI QIDQ5066183

Daeyung Gim, Hyungbin Park

Publication date: 29 March 2022

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

optimal investmentMerton problemdeep Galerkin methoddeep learning algorithm

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Credit risk (91G40) Hamilton-Jacobi equations (35F21) Risk models (general) (91B05)

Uses Software

• Matlab
• DGM

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