Sökning: "Nonlinear Feynman-Kac"

Hittade 1 uppsats innehållade orden Nonlinear Feynman-Kac.

  1. 1. Exploring backward stochastic differential equations and deep learning for high-dimensional partial differential equations and European option pricing

    Kandidat-uppsats, Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

    Författare :Jonathan Leung; [2023]
    Nyckelord :Backward Stochastic Differential Equations; Semilinear Parabolic Partial Differential Equations; Artificial Neural Networks; Nonlinear Option Pricing; Black-Scholes; Nonlinear Feynman-Kac; Euler-Maruyama;

    Sammanfattning : Many phenomena in our world can be described as differential equations in high dimensions. However, they are notoriously challenging to solve numerically due to the exponential growth in computational cost with increasing dimensions. LÄS MER