Deep signature FBSDE algorithm

DOI10.3934/naco.2022028zbMath1517.65007arXiv2108.10504MaRDI QIDQ6164091

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Publication date: 26 July 2023

Published in: Numerical Algebra, Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2108.10504

zbMATH Keywords

recurrent neural networkoption pricingsignatureforward-backward stochastic differential equations

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (1)

A deep learning approach to the probabilistic numerical solution of path-dependent partial differential equations

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