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Inicio  /  Computation  /  Vol: 10 Par: 11 (2022)  /  Artículo
ARTÍCULO
TITULO

Deep Neural Network Algorithms for Parabolic PIDEs and Applications in Insurance and Finance

Rüdiger Frey and Verena Köck    

Resumen

In this paper we study deep neural network algorithms for solving linear and semilinear parabolic partial integro-differential equations with boundary conditions in high dimension. Our method can be considered as an extension of the deep splitting method for PDEs to equations with non-local terms. To show the viability of our approach, we discuss several case studies from insurance and finance.

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