Unbiased Deep Solvers for Linear Parametric PDEs
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Publication:5093244
DOI10.1080/1350486X.2022.2030773zbMath1497.91340arXiv1810.05094WikidataQ114099059 ScholiaQ114099059MaRDI QIDQ5093244
Marc Sabate Vidales, David Šiška, Lukasz Szpruch
Publication date: 26 July 2022
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1810.05094
Numerical methods (including Monte Carlo methods) (91G60) Artificial neural networks and deep learning (68T07) Derivative securities (option pricing, hedging, etc.) (91G20) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)
Related Items (6)
The deep parametric PDE method and applications to option pricing ⋮ A deep learning approach to the probabilistic numerical solution of path-dependent partial differential equations ⋮ Deep Curve-Dependent PDEs for Affine Rough Volatility ⋮ Deep signature FBSDE algorithm ⋮ An overview on deep learning-based approximation methods for partial differential equations ⋮ Higher-order error estimates of the discrete-time Clark-Ocone formula
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