Deep learning algorithms for solving high-dimensional nonlinear backward stochastic differential equations
DOI10.3934/dcdsb.2023151arXiv2010.01319OpenAlexW3089807094MaRDI QIDQ6201366
Publication date: 20 February 2024
Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2010.01319
recurrent neural networkautomatic differentiationbackward stochastic differential equationshigh-dimensional problemsdeep neural networknonlinear option pricingadditive discretization
Artificial neural networks and deep learning (68T07) Probabilistic models, generic numerical methods in probability and statistics (65C20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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