no code implementations • 3 Mar 2020 • Arnulf Jentzen, Timo Welti
In spite of the accomplishments of deep learning based algorithms in numerous applications and very broad corresponding research interest, at the moment there is still no rigorous understanding of the reasons why such algorithms produce useful results in certain situations.
no code implementations • 5 Aug 2019 • Sebastian Becker, Patrick Cheridito, Arnulf Jentzen, Timo Welti
We present numerical results for a large number of example problems, which include the pricing of many high-dimensional American and Bermudan options, such as Bermudan max-call options in up to 5000 dimensions.
no code implementations • 19 Sep 2018 • Arnulf Jentzen, Diyora Salimova, Timo Welti
These numerical simulations indicate that DNNs seem to possess the fundamental flexibility to overcome the curse of dimensionality in the sense that the number of real parameters used to describe the DNN grows at most polynomially in both the reciprocal of the prescribed approximation accuracy $ \varepsilon > 0 $ and the dimension $ d \in \mathbb{N}$ of the function which the DNN aims to approximate in such computational problems.