A deep learning approach to the probabilistic numerical solution of path-dependent partial differential equations
DOI10.1007/s42985-023-00255-xzbMath1517.65009arXiv2209.15010MaRDI QIDQ6114174
Nicolas Privault, Jiang Yu Nguwi
Publication date: 14 August 2023
Published in: SN Partial Differential Equations and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2209.15010
deep neural networksnumerical methods for PPDEspath-dependent partial differential equations (PPDEs)
Numerical methods (including Monte Carlo methods) (91G60) Artificial neural networks and deep learning (68T07) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)
Cites Work
- Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations
- Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
- Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II
- A probabilistic numerical method for fully nonlinear parabolic PDEs
- DGM: a deep learning algorithm for solving partial differential equations
- Neural networks-based backward scheme for fully nonlinear PDEs
- Neural network regression for Bermudan option pricing
- A martingale approach for fractional Brownian motions and related path dependent PDEs
- On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations
- Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations
- On the convergence of monotone schemes for path-dependent PDEs
- Reducing variance in the numerical solution of BSDEs
- On viscosity solutions of path dependent PDEs
- A regression-based Monte Carlo method to solve backward stochastic differential equations
- Comparison of Viscosity Solutions of Fully Nonlinear Degenerate Parabolic Path-Dependent PDEs
- The value of an Asian option
- Path-Dependent Deep Galerkin Method: A Neural Network Approach to Solve Path-Dependent Partial Differential Equations
- Deep Splitting Method for Parabolic PDEs
- Deep backward schemes for high-dimensional nonlinear PDEs
- Solving high-dimensional partial differential equations using deep learning
- Unbiased Deep Solvers for Linear Parametric PDEs
- Numerical Simulations for Full History Recursive Multilevel Picard Approximations for Systems of High-Dimensional Partial Differential Equations
- Functional Itô calculus
- Deep Curve-Dependent PDEs for Affine Rough Volatility
- Deep signature FBSDE algorithm
This page was built for publication: A deep learning approach to the probabilistic numerical solution of path-dependent partial differential equations