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

09/23/2021

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by   Rüdiger Frey, et al.

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In recent years a large literature on deep learning based methods for the numerical solution partial differential equations has emerged; results for integro-differential equations on the other hand are scarce. In this paper we study deep neural network algorithms for solving linear and semilinear parabolic partial integro-differential equations with boundary conditions in high dimension. To show the viability of our approach we discuss several case studies from insurance and finance.