A deep learning-based Monte Carlo simulation scheme for stochastic differential equations driven by fractional Brownian motion

Fei Gao, Cornelis W. Oosterlee, Jiangshe Zhang 0001. A deep learning-based Monte Carlo simulation scheme for stochastic differential equations driven by fractional Brownian motion. Neurocomputing, 574:127245, March 2024. [doi]

Abstract

Abstract is missing.