A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for Deep BSDE solver

DOI10.1016/J.JCP.2022.110956arXiv2101.09890WikidataQ114163372 ScholiaQ114163372MaRDI QIDQ6358936

Toshihiro Yamada, Yoshifumi Tsuchida, Akihiko Takahashi

Publication date: 24 January 2021

Stochastic analysis (60Hxx) Actuarial science and mathematical finance (91Gxx) Probabilistic methods, stochastic differential equations (65Cxx)

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