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Found 189 Documents (Results 1–100)

A proof that artificial neural networks overcome the curse of dimensionality in the numerical approximation of Black-Scholes partial differential equations. (English) Zbl 07679303

Memoirs of the American Mathematical Society 1410. Providence, RI: American Mathematical Society (AMS) (ISBN 978-1-4704-5632-0/pbk; 978-1-4704-7448-5/ebook). v, 93 p. (2023).
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McKean Feynman-Kac probabilistic representations of non-linear partial differential equations. (English) Zbl 1499.60189

Ugolini, Stefania (ed.) et al., Geometry and invariance in stochastic dynamics. Selected papers based on the presentations at the the conference on random transformations and invariance in stochastic dynamics, Verona, Italy, March 25–29, 2019. Cham: Springer. Springer Proc. Math. Stat. 378, 187-212 (2021).
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Decoupling on the Wiener space, related Besov spaces, and applications to BSDEs. (English) Zbl 1494.60002

Memoirs of the American Mathematical Society 1335. Providence, RI: American Mathematical Society (AMS) (ISBN 978-1-4704-4935-3/pbk; 978-1-4704-6751-7/ebook). iv, 112 p. (2021).
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A multistep scheme to solve backward stochastic differential equations for option pricing on GPUs. (English) Zbl 1461.91353

Dimov, Ivan (ed.) et al., Advances in high performance computing. Results of the international conference on high performance computing, Borovets, Bulgaria, September 2–6, 2019. Cham: Springer. Stud. Comput. Intell. 902, 196-208 (2021).
MSC:  91G60 65C30 91G20
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European option pricing with stochastic volatility models under parameter uncertainty. (English) Zbl 1498.91432

Cohen, Samuel N. (ed.) et al., Frontiers in stochastic analysis – BSDEs, SPDEs and their applications. International workshop on BSDEs, SPDEs and their applications, Edinburgh, UK, July 3–7, 2017. Selected, revised and extended contributions. Cham: Springer. Springer Proc. Math. Stat. 289, 123-167 (2019).
MSC:  91G20 60H30
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