A path-dependent PDE solver based on signature kernels
From MaRDI portal
Publication:6526536
arXiv2403.11738MaRDI QIDQ6526536
Alexandre Pannier, Cristopher Salvi
Has companion code repository: https://github.com/crispitagorico/sigppde
Numerical methods (including Monte Carlo methods) (91G60) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35) PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables) (35R15) Signatures and data streams (60L10)
This page was built for publication: A path-dependent PDE solver based on signature kernels
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6526536)
