Neural networks-based backward scheme for fully nonlinear PDEs
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DOI: 10.1007/s42985-020-00062-8
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References listed on IDEAS
- Thaleia Zariphopoulou, 2001. "A solution approach to valuation with unhedgeable risks," Finance and Stochastics, Springer, vol. 5(1), pages 61-82.
- Rainer Schöbel & Jianwei Zhu, 1999. "Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension," Review of Finance, European Finance Association, vol. 3(1), pages 23-46.
- 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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Cited by:
- Teng, Long, 2022. "Gradient boosting-based numerical methods for high-dimensional backward stochastic differential equations," Applied Mathematics and Computation, Elsevier, vol. 426(C).
- Jiang Yu Nguwi & Nicolas Privault, 2023. "A deep learning approach to the probabilistic numerical solution of path-dependent partial differential equations," Partial Differential Equations and Applications, Springer, vol. 4(4), pages 1-20, August.
- Jean-Franc{c}ois Chassagneux & Junchao Chen & Noufel Frikha, 2022. "Deep Runge-Kutta schemes for BSDEs," Papers 2212.14372, arXiv.org.
- William Lefebvre & Gr'egoire Loeper & Huy^en Pham, 2022. "Differential learning methods for solving fully nonlinear PDEs," Papers 2205.09815, arXiv.org.
- Jiang, Weixin & Wang, Junfang & Varbanov, Petar Sabev & Yuan, Qing & Chen, Yujie & Wang, Bohong & Yu, Bo, 2024. "Hybrid data-mechanism-driven model of the unsteady soil temperature field for long-buried crude oil pipelines with non-isothermal batch transportation," Energy, Elsevier, vol. 292(C).
- Maximilien Germain & Joseph Mikael & Xavier Warin, 2022. "Numerical Resolution of McKean-Vlasov FBSDEs Using Neural Networks," Methodology and Computing in Applied Probability, Springer, vol. 24(4), pages 2557-2586, December.
- William Lefebvre & Grégoire Loeper & Huyên Pham, 2023. "Differential learning methods for solving fully nonlinear PDEs," Digital Finance, Springer, vol. 5(1), pages 183-229, March.
- Maximilien Germain & Mathieu Laurière & Huyên Pham & Xavier Warin, 2022. "DeepSets and their derivative networks for solving symmetric PDEs ," Post-Print hal-03154116, HAL.
- Lorenc Kapllani & Long Teng, 2024. "A backward differential deep learning-based algorithm for solving high-dimensional nonlinear backward stochastic differential equations," Papers 2404.08456, arXiv.org.
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Keywords
Neural networks; Fully nonlinear PDEs in high dimension; Backward scheme;All these keywords.
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