Control variate method for deep BSDE solver using weak approximation
Yoshifumi Tsuchida
Year of publication: |
2023
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Authors: | Tsuchida, Yoshifumi |
Published in: |
Asia Pacific financial markets. - [Erscheinungsort nicht ermittelbar] : Proquest, ISSN 1573-6946, ZDB-ID 2009834-0. - Vol. 30.2023, 2, p. 273-296
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Subject: | Asymptotic expansion | Backward stochastic differential equation | Control variate method | Deep BSDE solver | Deep learning | Weak approximation | Stochastischer Prozess | Stochastic process | Analysis | Mathematical analysis | Experiment | Optionspreistheorie | Option pricing theory |
Saved in:
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