The Seven-League Scheme: Deep Learning for Large Time Step Monte Carlo Simulations of Stochastic Differential Equations

The Seven-League Scheme: Deep Learning for Large Time Step Monte Carlo Simulations of Stochastic Differential Equations

We propose an accurate data-driven numerical scheme to solve stochastic differential equations (SDEs), by taking large time steps. The SDE discretization is built up by means of the polynomial chaos expansion method, on the basis of accurately determined stochastic collocation (SC) points. By employ...

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Bibliographic Details
Main Authors: Shuaiqiang Liu, Lech A. Grzelak, Cornelis W. Oosterlee
Format: Article
Language:English
Published: MDPI AG 2022-02-01
Series:Risks
Subjects:
artificial neural network
stochastic differential equations
large time step simulation
stochastic collocation Monte Carlo sampler
numerical scheme
path-dependent options
Online Access:https://www.mdpi.com/2227-9091/10/3/47

Internet

https://www.mdpi.com/2227-9091/10/3/47

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