In practice the Galerkin method for solving elliptic partial differential equations yields equations involving certain integrals which cannot be evaluated analytically. Instead these integrals are ...

Ronald W. Butler, Douglas A. Bronson, Bootstrapping Survival Times in Stochastic Systems by Using Saddlepoint Approximations, Journal of the Royal Statistical Society. Series B (Statistical ...

This paper proposes a new deep-learning-based algorithm for high-dimensional Bermudan option pricing. To the best of our knowledge, this is the first study of the arbitrary-order discretization scheme ...