Solving Kolmogorov PDEs without the curse of dimensionality via deep learning and asymptotic expansion with Malliavin calculus
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DOI: 10.1007/s42985-023-00240-4
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- Lukas Gonon, 2024. "Deep neural network expressivity for optimal stopping problems," Finance and Stochastics, Springer, vol. 28(3), pages 865-910, July.
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Keywords
Asymptotic expansion; Deep learning; Kolmogorov PDEs; Malliavin calculus; Curse of dimensionality;All these keywords.
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