An acceleration scheme for deep learning-based BSDE solver using weak expansions
Riu Naito and Toshihiro Yamada
| Year of publication: |
2020
|
|---|---|
| Authors: | Naito, Riu ; Yamada, Toshihiro |
| Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 7.2020, 2, p. 1-12
|
| Subject: | backward stochastic differential equations | Deep learning | nonlinear partial differential equations | weak approximation | Stochastischer Prozess | Stochastic process | Analysis | Mathematical analysis | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2424786320500127 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012602946