This paper presents a novel and direct approach to solving boundary- and final-value problems, corresponding to barrier options, using forward pathwise deep learning and forward–backward stochastic ...
Inspired by path integral solutions to the quantum relaxation problem, we develop a numerical method to solve classical stochastic differential equations with multiplicative noise that avoids ...
SIAM Journal on Numerical Analysis, Vol. 54, No. 2 (2016), pp. 1093-1119 (27 pages) A fully discrete approximation of the semilinear stochastic wave equation driven by multiplicative noise is ...
Some results have been hidden because they may be inaccessible to you
Show inaccessible results