@inproceedings{c6172d7ce63f4476b11cd1d3749397c4,
title = "Deep Asymptotic Expansion: Application to Financial Mathematics",
abstract = "The paper proposes a new computational scheme for diffusion semigroups based on an asymptotic expansion with weak approximation and deep learning algorithm to solve highdimensional Kolmogorov partial differential equations (PDEs). In particular, we give a spatial approximation for the solution of d-dimensional PDEs on a range [a, b]d without suffering from the curse of dimensionality.",
keywords = "Asymptotic expansion, Curse of dimensionality, Deep learning, Kolmogorov PDEs, Malliavin calculus, Weak approximation",
author = "Yuga Iguchi and Riu Naito and Yusuke Okano and Akihiko Takahashi and Toshihiro Yamada",
note = "Publisher Copyright: {\textcopyright} IEEE 2022.; 2021 IEEE Asia-Pacific Conference on Computer Science and Data Engineering, CSDE 2021 ; Conference date: 08-12-2021 Through 10-12-2021",
year = "2021",
doi = "10.1109/CSDE53843.2021.9718463",
language = "英語",
series = "2021 IEEE Asia-Pacific Conference on Computer Science and Data Engineering, CSDE 2021",
publisher = "Institute of Electrical and Electronics Engineers Inc.",
booktitle = "2021 IEEE Asia-Pacific Conference on Computer Science and Data Engineering, CSDE 2021",
}