FULL ERROR ANALYSIS OF THE RANDOM DEEP SPLITTING METHOD FOR NONLINEAR PARABOLIC PDES AND PIDES WITH INFINITE ACTIVITY

By ARIEL NEUFELD, PHILIPP SCHMOCKER, SIZHOU WU

Published 2024-05-08

Everscope rating

1740.2

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Random Deep Splitting Method. Problem types: Partial Differential Equations, Partial Integro-Differential Equations.

arXiv:2405.05192 · Code · Paper rankings

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