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Numerical Methods and Deep Learning for Stochastic Control Problems and Partial Differential Equations

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Academic year: 2021

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Figure 1.1 – Histogram of the terminal wealth of the market-maker when the latter follows a naive strategy (light blue), and the Qknn-estimated optimal strategy (dark blue)
Table 1.1 – Estimates of the value function for the systemic risk problem for different parameters; using regress-later (RLMC),regress-now (CR), Qknn, and a finite difference based algorithm
Figure 1.2 – Estimates of the optimal quantity of energy to get from the generator using Classif-Hybrid or Qknn.
Table 1.2 – Estimates of the price of an American option using RDBDP algorithm. We reported very accurate estimates of the price (computed by a tree-based algorithm after applying a trick to reduce the dimension of the problem to one) to the benchmark colu
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