Open AccessMonte Carlo simulation of SDEs using GANs
Author(s) -
Jorino van Rhijn,
Cornelis W. Oosterlee,
Lech A. Grzelak,
Shuaiqiang Liu
Publication year - 2022
Publication title -
japan journal of industrial and applied mathematics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.356
H-Index - 28
eISSN - 1868-937X
pISSN - 0916-7005
DOI - 10.1007/s13160-022-00534-x
Subject(s) - stochastic differential equation , computer science , discretization , conditional probability distribution , discriminator , mathematics , algorithm , brownian motion , generator (circuit theory) , artificial intelligence , mathematical analysis , statistics , physics , telecommunications , power (physics) , quantum mechanics , detector