Deep Learning algorithms for solving high dimensional nonlinear Backward Stochastic Differential Equations.
Lorenc KapllaniLong TengPublished in: CoRR (2020)
Keyphrases
- stochastic differential equations
- high dimensional
- maximum a posteriori estimation
- learning algorithm
- brownian motion
- fractional brownian motion
- additive gaussian noise
- learning problems
- long range
- non stationary
- machine learning
- diffusion process
- dimensionality reduction
- data points
- input space
- kernel function
- gaussian distribution
- optimal control
- differential equations
- financial markets
- stochastic process
- vector valued
- noisy images
- reinforcement learning
- production system