A deep learning-based Monte Carlo simulation scheme for stochastic differential equations driven by fractional Brownian motion.
Fei GaoCornelis W. OosterleeJiangshe ZhangPublished in: Neurocomputing (2024)
Keyphrases
- stochastic differential equations
- monte carlo simulation
- deep learning
- fractional brownian motion
- long range
- non stationary
- monte carlo
- maximum a posteriori estimation
- markov chain
- brownian motion
- unsupervised learning
- random fields
- fractal dimension
- machine learning
- financial markets
- diffusion process
- maximum likelihood
- co occurrence