Solving Non-linear Kolmogorov Equations in Large Dimensions by Using Deep Learning: A Numerical Comparison of Discretization Schemes
Raffaele Marino, Nicolas Macris
Topics & Concepts
DiscretizationKolmogorov equations (Markov jump process)MathematicsApplied mathematicsPartial differential equationStochastic differential equationMathematical financeDifferential equationDeep learningKolmogorov structure functionRange (aeronautics)Computer scienceMathematical analysisKolmogorov complexityAlgorithmArtificial intelligenceOrdinary differential equationDifferential algebraic equationEconomicsFinancial economicsMaterials scienceComposite materialModel Reduction and Neural NetworksStochastic processes and financial applicationsAdvanced Mathematical Modeling in Engineering