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

Rüdiger Frey, Verena Köck*

*Corresponding author for this work

Publication: Scientific journalJournal articlepeer-review

Abstract

In this paper we study deep neural network algorithms for solving inear 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.

Original languageEnglish
Article number201
JournalComputation
Volume10
Issue number11
DOIs
Publication statusPublished - Nov 2022

Bibliographical note

Publisher Copyright:
© 2022 by the authors.

Keywords

  • deep neural networks
  • finance
  • insurance
  • machine earning
  • parabolic partial integro-differential equations

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