Neural networks-based algorithms for stochastic control and PDEs in finance

Maximilien Germain, Huy\^en Pham and Xavier Warin

Papers from arXiv.org

Abstract: This paper presents machine learning techniques and deep reinforcement learningbased algorithms for the efficient resolution of nonlinear partial differential equations and dynamic optimization problems arising in investment decisions and derivative pricing in financial engineering. We survey recent results in the literature, present new developments, notably in the fully nonlinear case, and compare the different schemes illustrated by numerical tests on various financial applications. We conclude by highlighting some future research directions.

Date: 2021-01, Revised 2021-04
New Economics Papers: this item is included in nep-big
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Citations: View citations in EconPapers (21)

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