Boundary-safe PINNs extension: application to non-linear parabolic PDEs in counterparty credit risk (Q6157931)

scientific article; zbMATH DE number 7700243

Language	Label	Description	Also known as
English	Boundary-safe PINNs extension: application to non-linear parabolic PDEs in counterparty credit risk	scientific article; zbMATH DE number 7700243

Statements

instance of

scholarly article

0 references

title

Boundary-safe PINNs extension: application to non-linear parabolic PDEs in counterparty credit risk (English)

0 references

arXiv ID

2210.02175

0 references

DOI

10.1016/j.cam.2022.115041

0 references

author

Joel P. Villarino

0 references

Álvaro Leitao

0 references

José A. García-Rodríguez

0 references

published in

Journal of Computational and Applied Mathematics

0 references

publication date

22 June 2023

0 references

full work available at URL

https://arxiv.org/abs/2210.02175

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

deep learning

0 references

PDEs

0 references

PINNs

0 references

boundary conditions

0 references

nonlinear

0 references

couterparty credit risk

0 references

MaRDI profile type

MaRDI publication profile

0 references

cites work

Q5270493

0 references

The numerical solution of linear ordinary differential equations by feedforward neural networks

0 references

Neural‐network‐based approximations for solving partial differential equations

0 references

Optimization Methods for Large-Scale Machine Learning

0 references

PPINN: parareal physics-informed neural network for time-dependent PDEs

0 references

Physics-informed neural networks: a deep learning framework for solving forward and inverse problems involving nonlinear partial differential equations

0 references

DeepXDE: A Deep Learning Library for Solving Differential Equations

0 references

Estimates on the generalization error of physics-informed neural networks for approximating a class of inverse problems for PDEs

0 references

Error analysis for physics-informed neural networks (PINNs) approximating Kolmogorov PDEs

0 references

Physics Informed Neural Networks (PINNs) For Approximating Nonlinear Dispersive PDEs

0 references

Solving high-dimensional partial differential equations using deep learning

0 references

Multilevel Picard iterations for solving smooth semilinear parabolic heat equations

0 references

Overcoming the curse of dimensionality in the numerical approximation of semilinear parabolic partial differential equations

0 references

Gradient-enhanced physics-informed neural networks for forward and inverse PDE problems

0 references

ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS

0 references

ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS

0 references

Cross Currency Valuation and Hedging in the Multiple Curve Framework

0 references

Affine multiple yield curve models

0 references

BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA

0 references

Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations

0 references

Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models

0 references

On a Neural Network to Extract Implied Information from American Options

0 references

On the Convergence of Physics Informed Neural Networks for Linear Second-Order Elliptic and Parabolic Type PDEs

0 references

Optimally weighted loss functions for solving PDEs with neural networks

0 references

On the limited memory BFGS method for large scale optimization

0 references

A comprehensive study of non-adaptive and residual-based adaptive sampling for physics-informed neural networks

0 references

Q2934059

0 references

Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement

0 references

Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model

0 references

Pricing Multi-Asset Options with Sparse Grids and Fourth Order Finite Differences

0 references

A Theory of the Term Structure of Interest Rates

0 references

A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

0 references

Numerical methods to solve PDE models for pricing business companies in different regimes and implementation in GPUs

0 references

PDE models and numerical methods for total value adjustment in European and American options with counterparty risk

0 references

ADI finite difference schemes for option pricing in the Heston model with correlation

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:6157931