Gradient boosting-based numerical methods for high-dimensional backward stochastic differential equations.
Long TengPublished in: CoRR (2021)
Keyphrases
- stochastic differential equations
- numerical methods
- gradient boosting
- high dimensional
- brownian motion
- differential equations
- maximum a posteriori estimation
- loss function
- low dimensional
- partial differential equations
- additive gaussian noise
- dynamical systems
- fractional brownian motion
- optimal control
- input space
- bayesian networks
- stochastic process
- machine learning