Deep PDE solution to BSDE
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DOI: 10.1007/s42521-023-00098-6
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References listed on IDEAS
- Christian Bender & Nikolaus Schweizer & Jia Zhuo, 2017. "A Primal–Dual Algorithm For Bsdes," Mathematical Finance, Wiley Blackwell, vol. 27(3), pages 866-901, July.
- Bender, Christian & Denk, Robert, 2007. "A forward scheme for backward SDEs," Stochastic Processes and their Applications, Elsevier, vol. 117(12), pages 1793-1812, December.
- Justin Sirignano & Konstantinos Spiliopoulos, 2017. "DGM: A deep learning algorithm for solving partial differential equations," Papers 1708.07469, arXiv.org, revised Sep 2018.
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More about this item
Keywords
BSDE; PDE; Deep learning; DGM; Convergence;All these keywords.
JEL classification:
- C69 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Other
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