An unsupervised deep learning approach in solving partial integro-differential equations

We investigate solving partial integro-differential equations (PIDEs) using unsupervised deep learning in this paper. To price options, assuming underlying processes follow Levy processes, we require to solve PIDEs. In supervised deep learning, pre-calculated labels are used to train neural networks...

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Veröffentlicht in:	arXiv.org 2020-12
Hauptverfasser:	Hirsa, Ali, Fu, Weilong
Format:	Artikel
Sprache:	eng
Schlagworte:	Boundary conditions Computer Science - Computational Engineering, Finance, and Science Deep learning Differential equations Machine learning Mathematical analysis Neural networks Quantitative Finance - Computational Finance
Online-Zugang:	Volltext
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