Narrow search
Showing 1 - 4 of 4
Cover Image
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
Cover Image
Forward start volatility swaps in rough volatility models
Alòs, Elisa; Rolloos, Frido; Shiraya, Kenichiro - 2022
Persistent link: https://www.econbiz.de/10014266236
Cover Image
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
Cover Image
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