arXiv Open Access 2021

Deep Neural Network Algorithms for Parabolic PIDEs and Applications in Insurance Mathematics

Rüdiger Frey Verena Köck

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Abstrak

In recent years a large literature on deep learning based methods for the numerical solution partial differential equations has emerged; results for integro-differential equations on the other hand are scarce. In this paper we study deep neural network algorithms for solving linear and semilinear parabolic partial integro-differential equations with boundary conditions in high dimension. To show the viability of our approach we discuss several case studies from insurance and finance.

Topik & Kata Kunci

math.NA math.PR q-fin.CP stat.ML

Penulis (2)

Rüdiger Frey

Verena Köck

Format Sitasi

APA MLA BibTeX

Frey, R., Köck, V. (2021). Deep Neural Network Algorithms for Parabolic PIDEs and Applications in Insurance Mathematics. https://arxiv.org/abs/2109.11403

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Informasi Jurnal

Tahun Terbit: 2021
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓