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Deep learning algorithms for FBSDEs with jumps: Applications to option pricing and a MFG model for smart grids.

Clémence AlasseurZakaria BensaidRoxana DumitrescuXavier Warin
Published in: CoRR (2024)
Keyphrases
  • learning algorithm
  • artificial intelligence
  • long term
  • probabilistic model
  • reinforcement learning
  • prior knowledge
  • probability distribution
  • theoretical framework
  • sensitivity analysis
  • stochastic model