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feynman-kac formula

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doob h-transform (1) backward kolmogorov equation (1) kolmogorov pde (1) black-scholes option pricing (1) numerical solution (1) parametric family (1) neural network approximation (1) high-dimensional pde (1) deep neural network (1) curse of dimensionality (1)

Papers

Computational Doob h-transforms for Online Filtering of Discretely Observed Diffusions ICML 2023 Numerically Solving Parametric Families of High-Dimensional Kolmogorov Partial Differential Equations via Deep Learning NeurIPS 2020