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Convergence Analysis of the Deep Splitting Scheme: the Case of Partial Integro-Differential Equations and the associated FBSDEs with Jumps.
Rüdiger Frey
Verena Köck
Published in:
CoRR (2022)
Keyphrases
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differential equations
convergence analysis
difference equations
dynamical systems
global convergence
numerical solution
ordinary differential equations
boundary value problem
numerical methods
markov chain
neural network
feature space
high order
sensitivity analysis
optimality conditions