Uncertainty quantification for deep learning-based schemes for solving high-dimensional backward stochastic differential equations.
Lorenc KapllaniLong TengMatthias RottmannPublished in: CoRR (2023)
Keyphrases
- deep learning
- stochastic differential equations
- high dimensional
- maximum a posteriori estimation
- unsupervised learning
- brownian motion
- fractional brownian motion
- dimensionality reduction
- machine learning
- additive gaussian noise
- hidden markov models
- text mining
- mental models
- weakly supervised
- long range
- differential equations
- data points
- pairwise