Solving stochastic differential equations and Kolmogorov equations by means of deep learning

@article{Beck2018SolvingSD,
  title={Solving stochastic differential equations and Kolmogorov equations by means of deep learning},
  author={Christian Beck and Sebastian Becker and Philipp Grohs and Nor Jaafari and Arnulf Jentzen},
  journal={CoRR},
  year={2018},
  volume={abs/1806.00421}
}
Stochastic differential equations (SDEs) and the Kolmogorov partial differential equations (PDEs) associated to them have been widely used in models from engineering, finance, and the natural sciences. In particular, SDEs and Kolmogorov PDEs, respectively, are highly employed in models for the approximative pricing of financial derivatives. Kolmogorov PDEs and SDEs, respectively, can typically not be solved explicitly and it has been and still is an active topic of research to design and… CONTINUE READING
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