Monte Carlo simulation of SDEs using GANs
DOI10.1007/s13160-022-00534-xzbMath1525.65007arXiv2104.01437OpenAlexW3195565121MaRDI QIDQ6072362
Cornelis W. Oosterlee, Shuaiqiang Liu, Jorino van Rhijn, Lech A. Grzelak
Publication date: 13 October 2023
Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2104.01437
neural networksstochastic differential equationsMonte Carlo samplingexact simulationgenerative adversarial networkspath-wise conditional distribution
Monte Carlo methods (65C05) Diffusion processes (60J60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Problem solving in the context of artificial intelligence (heuristics, search strategies, etc.) (68T20)
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