A deep neural network algorithm for semilinear elliptic PDEs with applications in insurance mathematics
Year of publication: |
2020
|
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Authors: | Kremsner, Stefan ; Steinicke, Alexander ; Szölgyenyi, Michaela |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 8.2020, 4/136, p. 1-18
|
Subject: | backward stochastic differential equations | semilinear elliptic partial differential | equations | stochastic optimal control | unbounded random terminal time | machine learning | deep neural networks | Neuronale Netze | Neural networks | Stochastischer Prozess | Stochastic process | Analysis | Mathematical analysis | Künstliche Intelligenz | Artificial intelligence | Finanzmathematik | Mathematical finance | Kontrolltheorie | Control theory | Optionspreistheorie | Option pricing theory | Mathematik | Mathematics | Mathematische Optimierung | Mathematical programming |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/risks8040136 [DOI] hdl:10419/258089 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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