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Machine Learning Approximation Algorithms for High-Dimensional Fully Nonlinear Partial Differential Equations and Second-order Backward Stochastic Differential Equations
(2019)Journal of Nonlinear ScienceHigh-dimensional partial differential equations (PDEs) appear in a number of models from the financial industry, such as in derivative pricing models, credit valuation adjustment models, or portfolio optimization models. The PDEs in such applications are high-dimensional as the dimension corresponds to the number of financial assets in a portfolio. Moreover, such PDEs are often fully nonlinear due to the need to incorporate certain nonlinear ...Journal Article