Detecting macroeconomic phases in the Dow Jones Industrial Average time series by Wong, Jian Cheng, Lian, Heng, Cheong, Siew Ann

Subjects: “…DRNTU::Business::Finance::Mathematical finance…”
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Nonlocality, nonlinearity, and time inconsistency in stochastic differential games by Lei, Qian, Pun, Chi Seng

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Black-scholes theory and diffusion processes on the cotangent bundle of the affine group by Jayaraman, Amitesh S., Campolo, Domenico, Chirikjian, Gregory S.

“…The Black-Scholes partial differential equation (PDE) from mathematical finance has been analysed extensively and it is well known that the equation can be reduced to a heat equation on Euclidean space by a logarithmic transformation of variables. …”
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Deep splitting method for parabolic PDEs by Beck, Christian, Becker, Sebastian, Cheridito, Patrick, Jentzen, Arnulf, Neufeld, Ariel

“…We test the method on different examples from physics, stochastic control and mathematical finance. In all cases, it yields very good results in up to 10,000 dimensions with short run times.…”
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