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The One Step Malliavin scheme: new discretization of BSDEs implemented with deep learning regressions.
Balint Negyesi
Kristoffer Andersson
Cornelis W. Oosterlee
Published in:
CoRR (2021)
Keyphrases
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deep learning
unsupervised feature learning
unsupervised learning
machine learning
mental models
stochastic differential equations
computer vision
training set