most citedDeep neural networks algorithms for stochastic control problems on finite horizon: convergence analysis

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math.OC2018★ 20 cited

Deep neural networks algorithms for stochastic control problems on finite horizon: numerical applications

Achref Bachouch, Côme Huré, Nicolas Langrené +1

This paper presents several numerical applications of deep learning-based algorithms that have been introduced in [HPBL18]. Numerical and comparative tests using TensorFlow illustr…