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)
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