Machine Learning Approximation Algorithms for High-Dimensional Fully Nonlinear Partial Differential Equations and Second-order Backward Stochastic Differential Equations
出版年份 2019 全文链接
标题
Machine Learning Approximation Algorithms for High-Dimensional Fully Nonlinear Partial Differential Equations and Second-order Backward Stochastic Differential Equations
作者
关键词
Deep learning, Second-order backward stochastic differential equation, 2BSDE, Numerical method, Black–Scholes–Barenblatt equation, Knightian uncertainty, Hamiltonian–Jacobi–Bellman equation, HJB equation, Nonlinear expectation, <em class="EmphasisTypeItalic ">G</em>-Brownian motion
出版物
JOURNAL OF NONLINEAR SCIENCE
Volume -, Issue -, Pages -
出版商
Springer Nature
发表日期
2019-01-09
DOI
10.1007/s00332-018-9525-3
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