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A new efficient approximation scheme for solving high-dimensional semilinear PDEs : control variate method for Deep BSDE solver
Takahashi, Akihiko; Tsuchida, Yoshifumi; Yamada, Toshihiro - 2021 - This version : August 10, 2021
Persistent link: https://www.econbiz.de/10012616192
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Deep asymptotic expansion : application to financial mathematics
Iguchi, Yuga; Naito, Riu; Okano, Yusuke; Takahashi, Akihiko - 2021 - First version: 1 November, 2021
Persistent link: https://www.econbiz.de/10012813594
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A new efficient approximation scheme for solving high-dimensional semilinear PDEs : control variate method for Deep BSDE solver
Takahashi, Akihiko; Tsuchida, Yoshifumi; Yamada, Toshihiro - 2021
Persistent link: https://www.econbiz.de/10012813680
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New asymptotic expansion formula via Malliavin calculus and its application to rough differential equation driven by fractional Brownian motion
Takahashi, Akihiko; Yamada, Toshihiro - 2023 - This version: July 3, 2023
Persistent link: https://www.econbiz.de/10014331906
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Solving Kolmogorov PDEs without the curse of dimensionality via deep learning and asymptotic expansion with Malliavin calculus
Takahashi, Akihiko; Yamada, Toshihiro - 2023 - This version : May 9, 2023
Persistent link: https://www.econbiz.de/10014266288