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backward stochastic differential equation
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breaking the curse of dimensionality
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A Probabilistic Solution to High-Dimensional Continuous-Time Macro and Finance Models
Huang, Ji
-
2023
. Deep learning streamlines the search for the probabilistic solution, which is less sensitive to
the
"
curse
of
…
dimensionality
." The paper proposes a straightforward algorithm and assesses its accuracy by considering a multiple-country model …
Persistent link: https://www.econbiz.de/10014377574
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2
Exploiting Symmetry in High-Dimensional Dynamic Programming
Kahou, Mahdi Ebrahimi
;
Fernández-Villaverde, Jesús
; …
-
2021
with a large (but finite) number of heterogeneous agents using deep learning.
The
„
curse
of
dimensionality
“ is avoided due …
Persistent link: https://www.econbiz.de/10012599248
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