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Deep learning algorithms for FBSDEs with jumps: Applications to option pricing and a MFG model for smart grids.
Clémence Alasseur
Zakaria Bensaid
Roxana Dumitrescu
Xavier Warin
Published in:
CoRR (2024)
Keyphrases
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learning algorithm
artificial intelligence
long term
probabilistic model
reinforcement learning
prior knowledge
probability distribution
theoretical framework
sensitivity analysis
stochastic model