Learning the random variables in Monte Carlo simulations with stochastic gradient descent : machine learning for parametric PDEs and financial derivative pricing
Year of publication: |
2024
|
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Authors: | Becker, Sebastian ; Jentzen, Arnulf ; Müller, Marvin S. ; Wurstemberger, Philippe von |
Subject: | Monte-Carlo-Simulation | Monte Carlo simulation | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Künstliche Intelligenz | Artificial intelligence | Optionspreistheorie | Option pricing theory | Lernprozess | Learning process |
Type of publication: | Article |
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Type of publication (narrower categories): | Konferenzbeitrag ; Conference paper ; Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.1111/mafi.12405 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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