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Asymptotic Expansion as Prior Knowledge in Deep Learning Method for High dimensional BSDEs

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Cited by:

  1. Alessandro Gnoatto & Athena Picarelli & Christoph Reisinger, 2020. "Deep xVA solver -- A neural network based counterparty credit risk management framework," Papers 2005.02633, arXiv.org, revised Dec 2022.
  2. Maximilien Germain & Huyên Pham & Xavier Warin, 2021. "Neural networks-based algorithms for stochastic control and PDEs in finance ," Working Papers hal-03115503, HAL.
  3. Yoshifumi Tsuchida, 2023. "Control Variate Method for Deep BSDE Solver Using Weak Approximation," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(2), pages 273-296, June.
  4. Stefan Kremsner & Alexander Steinicke & Michaela Szölgyenyi, 2020. "A Deep Neural Network Algorithm for Semilinear Elliptic PDEs with Applications in Insurance Mathematics," Risks, MDPI, vol. 8(4), pages 1-18, December.
  5. Choi, So Eun & Jang, Hyun Jin & Lee, Kyungsub & Zheng, Harry, 2021. "Optimal market-Making strategies under synchronised order arrivals with deep neural networks," Journal of Economic Dynamics and Control, Elsevier, vol. 125(C).
  6. Philipp Grohs & Arnulf Jentzen & Diyora Salimova, 2022. "Deep neural network approximations for solutions of PDEs based on Monte Carlo algorithms," Partial Differential Equations and Applications, Springer, vol. 3(4), pages 1-41, August.
  7. Akihiko Takahashi & Yoshifumi Tsuchida & Toshihiro Yamada, 2021. "A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for Deep BSDE solver," CARF F-Series CARF-F-504, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Jan 2022.
  8. Jiawei Huo, 2023. "Finite Difference Solution Ansatz approach in Least-Squares Monte Carlo," Papers 2305.09166, arXiv.org, revised Aug 2024.
  9. Akihiko Takahashi & Toshihiro Yamada, 2023. "Solving Kolmogorov PDEs without the curse of dimensionality via deep learning and asymptotic expansion with Malliavin calculus," Partial Differential Equations and Applications, Springer, vol. 4(4), pages 1-31, August.
  10. Yunfei Peng & Pengyu Wei & Wei Wei, 2024. "Deep Penalty Methods: A Class of Deep Learning Algorithms for Solving High Dimensional Optimal Stopping Problems," Papers 2405.11392, arXiv.org.
  11. Masaaki Fujii, 2020. "Probabilistic Approach to Mean Field Games and Mean Field Type Control Problems with Multiple Populations," CARF F-Series CARF-F-497, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  12. Simonella, Roberta & Vázquez, Carlos, 2023. "XVA in a multi-currency setting with stochastic foreign exchange rates," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 207(C), pages 59-79.
  13. Maximilien Germain & Huyên Pham & Xavier Warin, 2021. "Neural networks-based algorithms for stochastic control and PDEs in finance ," Post-Print hal-03115503, HAL.
  14. Akihiko Takahashi & Yoshifumi Tsuchida & Toshihiro Yamada, 2021. "A New Efficient Approximation Scheme for Solving High-Dimensional Semilinear PDEs: Control Variate Method for Deep BSDE Solver," CIRJE F-Series CIRJE-F-1159, CIRJE, Faculty of Economics, University of Tokyo.
  15. Jian Liang & Zhe Xu & Peter Li, 2019. "Deep Learning-Based Least Square Forward-Backward Stochastic Differential Equation Solver for High-Dimensional Derivative Pricing," Papers 1907.10578, arXiv.org, revised Oct 2020.
  16. Akihiko Takahashi & Toshihiro Yamada, 2021. "Asymptotic Expansion and Deep Neural Networks Overcome the Curse of Dimensionality in the Numerical Approximation of Kolmogorov Partial Differential Equations with Nonlinear Coefficients," CIRJE F-Series CIRJE-F-1167, CIRJE, Faculty of Economics, University of Tokyo.
  17. Masaaki Fujii, 2019. "Probabilistic Approach to Mean Field Games and Mean Field Type Control Problems with Multiple Populations," CIRJE F-Series CIRJE-F-1133, CIRJE, Faculty of Economics, University of Tokyo.
  18. Akihiko Takahashi & Yoshifumi Tsuchida & Toshihiro Yamada, 2022. "A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for Deep BSDE solver (Journal of Computational Physics, published online 19 January 2022)," CARF F-Series CARF-F-532, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Feb 2022.
  19. Masaaki Fujii, 2019. "Probabilistic Approach to Mean Field Games and Mean Field Type Control Problems with Multiple Populations," Papers 1911.11501, arXiv.org, revised Nov 2020.
  20. Yuga Iguchi & Riu Naito & Yusuke Okano & Akihiko Takahashi & Toshihiro Yamada, 2021. "Deep Asymptotic Expansion: Application to Financial Mathematics," CIRJE F-Series CIRJE-F-1178, CIRJE, Faculty of Economics, University of Tokyo.
  21. Akihiko Takahashi & Yoshifumi Tsuchida & Toshihiro Yamada, 2021. "A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for Deep BSDE solver," Papers 2101.09890, arXiv.org, revised Jan 2021.
  22. Gnameho Kossi & Stadje Mitja & Pelsser Antoon, 2024. "A gradient method for high-dimensional BSDEs," Monte Carlo Methods and Applications, De Gruyter, vol. 30(2), pages 183-203.
  23. 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.
  24. Sebastian Becker & Patrick Cheridito & Arnulf Jentzen & Timo Welti, 2019. "Solving high-dimensional optimal stopping problems using deep learning," Papers 1908.01602, arXiv.org, revised Aug 2021.
  25. Yuga Iguchi & Riu Naito & Yusuke Okano & Akihiko Takahashi & Toshihiro Yamada, 2021. "Deep Asymptotic Expansion with Weak Approximation ," CIRJE F-Series CIRJE-F-1168, CIRJE, Faculty of Economics, University of Tokyo.
  26. Jiefei Yang & Guanglian Li, 2024. "A deep primal-dual BSDE method for optimal stopping problems," Papers 2409.06937, arXiv.org.
  27. Masaaki Fujii, 2019. "Probabilistic Approach to Mean Field Games and Mean Field Type Control Problems with Multiple Populations," CARF F-Series CARF-F-467, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  28. Lorenc Kapllani & Long Teng, 2024. "A forward differential deep learning-based algorithm for solving high-dimensional nonlinear backward stochastic differential equations," Papers 2408.05620, arXiv.org.
  29. Stefan Kremsner & Alexander Steinicke & Michaela Szolgyenyi, 2020. "A deep neural network algorithm for semilinear elliptic PDEs with applications in insurance mathematics," Papers 2010.15757, arXiv.org, revised Dec 2020.
  30. Maximilien Germain & Huy^en Pham & Xavier Warin, 2021. "Neural networks-based algorithms for stochastic control and PDEs in finance," Papers 2101.08068, arXiv.org, revised Apr 2021.
  31. Yuga Iguchi & Riu Naito & Yusuke Okano & Akihiko Takahashi & Toshihiro Yamada, 2021. "Deep Asymptotic Expansion: Application to Financial Mathematics（forthcoming in proceedings of IEEE CSDE 2021)," CARF F-Series CARF-F-523, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
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