135 citations · 872 across the 21 of their papers we have counts for
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math.NA2018★ 83 cited
Solving the Kolmogorov PDE by means of deep learning
Christian Beck, Sebastian Becker, Philipp Grohs +2
Stochastic differential equations (SDEs) and the Kolmogorov partial differential equations (PDEs) associated to them have been widely used in models from engineering, finance, and…
math.NA2018
Deep optimal stopping
Sebastian Becker, Patrick Cheridito, Arnulf Jentzen
In this paper we develop a deep learning method for optimal stopping problems which directly learns the optimal stopping rule from Monte Carlo samples. As such, it is broadly appli…