Deep neural networks for probability of default modelling

Numerical methods (including Monte Carlo methods) (91G60) Artificial neural networks and deep learning (68T07) Integro-partial differential equations (45K05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Computational methods for problems pertaining to game theory, economics, and finance (91-08) Credit risk (91G40)

Cites Work

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Solving the Kolmogorov PDE by means of deep learning
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Three ways to solve partial differential equations with neural networks — A review

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