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
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

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