A new efficient approximation scheme for solving high-dimensional semilinear PDEs : control variate method for Deep BSDE solver
Akihiko Takahashi, Yoshifumi Tsuchida, Toshihiro Yamada
| Year of publication: |
[2021] ; This version : August 10, 2021
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|---|---|
| Authors: | Takahashi, Akihiko ; Tsuchida, Yoshifumi ; Yamada, Toshihiro |
| Publisher: |
[Tokyo] : Center for Advanced Research in Finance |
| Subject: | Deep learning | Semilinear partial differential equations | Backward stochastic differential equations | Deep BSDE solver | Asymptotic expansion | Control variate method | Stochastischer Prozess | Stochastic process | Analysis | Mathematical analysis | Optionspreistheorie | Option pricing theory | Schätztheorie | Estimation theory | Monte-Carlo-Simulation | Monte Carlo simulation |
freely available
| Extent: | 1 Online-Ressource (circa 38 Seiten) Illustrationen |
|---|---|
| Series: | CARF working paper. - Tokyo : Center for Advanced Research in Finance, ZDB-ID 3079869-3. |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012616192