Solving stochastic differential equations and Kolmogorov equations by means of deep learning

1 Jun 2018Christian BeckSebastian BeckerPhilipp GrohsNor JaafariArnulf Jentzen

Stochastic differential equations (SDEs) and the Kolmogorov partial differential equations (PDEs) associated to them have been widely used in models from engineering, finance, and the natural sciences. In particular, SDEs and Kolmogorov PDEs, respectively, are highly employed in models for the approximative pricing of financial derivatives... (read more)

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