Learning the random variables in Monte Carlo simulations with stochastic gradient descent: Machine learning for parametric PDEs and financial derivative pricing

Fuente: arXiv

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Bibliographic Details
Main Authors:	Becker, Sebastian, Jentzen, Arnulf, Müller, Marvin S., von Wurstemberger, Philippe
Format:	Preprint
Published:	2022
Subjects:	Numerical Analysis Analysis of PDEs Probability 35K15, 65C05, 65M75, 68T99, 91G20
Online Access:	Acceder al recurso
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Internet

https://arxiv.org/abs/2202.02717