63 citations · 198 across the 8 of their papers we have counts for
Showing 2019Show all
2 papers · 1 filter
math.NA2019★ 13 cited
Generalised multilevel Picard approximations
Michael B. Giles, Arnulf Jentzen, Timo Welti
It is one of the most challenging problems in applied mathematics to approximatively solve high-dimensional partial differential equations (PDEs). In particular, most of the numeri…
cs.CE2019★ 63 cited
Solving high-dimensional optimal stopping problems using deep learning
Sebastian Becker, Patrick Cheridito, Arnulf Jentzen +1
Nowadays many financial derivatives, such as American or Bermudan options, are of early exercise type. Often the pricing of early exercise options gives rise to high-dimensional op…