no code implementations • 28 Sep 2022 • Jiang Yu Nguwi, Nicolas Privault
Recent work on Path-Dependent Partial Differential Equations (PPDEs) has shown that PPDE solutions can be approximated by a probabilistic representation, implemented in the literature by the estimation of conditional expectations using regression.
1 code implementation • 7 Mar 2022 • Jiang Yu Nguwi, Guillaume Penent, Nicolas Privault
We present a multidimensional deep learning implementation of a stochastic branching algorithm for the numerical solution of fully nonlinear PDEs.
