A probabilistic solution to high-dimensional continuous-time macro and finance models
Year of publication: |
August 2023
|
---|---|
Authors: | Ji, Huang |
Publisher: |
Munich, Germany : CESifo |
Subject: | backward stochastic differential equation | deep reinforcement learning | the curse of dimensionality | heterogeneous-agent continuous-time model | finite volume method | Stochastischer Prozess | Stochastic process | Analysis | Mathematical analysis | Optionspreistheorie | Option pricing theory | Finanzmathematik | Mathematical finance |
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