Monte Carlo Simulation of SDEs using GANs

1 code implementation • 3 Apr 2021 • Jorino van Rhijn, Cornelis W. Oosterlee, Lech A. Grzelak, Shuaiqiang Liu

We compare the input-output map obtained with the standard GAN and supervised GAN and show experimentally that the standard GAN may fail to provide a path-wise approximation.

Time Series Time Series Analysis +1