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20222024
most citedConvergence Analysis of the Deep Splitting Scheme: the Case of Partial Integro-Differential Equations and the associated FBSDEs with Jumps

3 citations · 3 across the 3 of their papers we have counts for

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math.NA2022★ 3 cited

Convergence Analysis of the Deep Splitting Scheme: the Case of Partial Integro-Differential Equations and the associated FBSDEs with Jumps

Rüdiger Frey, Verena Köck

High-dimensional parabolic partial integro-differential equations (PIDEs) appear in many applications in insurance and finance. Existing numerical methods suffer from the curse of…