Neural network expression rates and applications of the deep parametric PDE method in counterparty credit risk (Q6549602)

scientific article; zbMATH DE number 7859342

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English	Neural network expression rates and applications of the deep parametric PDE method in counterparty credit risk	scientific article; zbMATH DE number 7859342

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scholarly article

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title

Neural network expression rates and applications of the deep parametric PDE method in counterparty credit risk (English)

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Annals of Operations Research

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publication date

4 June 2024

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zbMATH Keywords

deep neural networks

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deep parametric PDE method

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DNN approximation theory

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DNN expression rates

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high-dimensional partial differential equations

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option pricing

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exposure calculation

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MaRDI profile type

Publication

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cites work

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Speed-up credit exposure calculations for pricing and risk management

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New Error Bounds for Deep ReLU Networks Using Sparse Grids

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Rectified deep neural networks overcome the curse of dimensionality for nonsmooth value functions in zero-sum games of nonlinear stiff systems

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Deep learning in high dimension: Neural network expression rates for generalized polynomial chaos expansions in UQ

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

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DGM: a deep learning algorithm for solving partial differential equations

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Exponential convergence of the deep neural network approximation for analytic functions

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Error bounds for approximations with deep ReLU networks

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Identifiers

zbMATH Open document ID

1543.91108

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DOI

10.1007/s10479-023-05315-4

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Mathematics Subject Classification ID

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Mathematics(1 entry)

mardi Publication:6549602