seb-becker / deep_pde
Source code related to the article "Deep splitting method for parabolic PDEs" by Christian Beck, Sebastian Becker, Patrick Cheridito, Arnulf Jentzen, and Ariel Neufeld
☆14Updated 4 years ago
Alternatives and similar repositories for deep_pde
Users that are interested in deep_pde are comparing it to the libraries listed below
Sorting:
- Python code for solving partial differential equations (PDEs) using deep learning. Specifically, we provide implementations for solving t…☆27Updated 11 months ago
- Regression Monte Carlo for Optimal Stopping☆8Updated 2 years ago
- ☆14Updated 3 years ago
- Solving high-dimensional Partial Differential Equations with Deep Learning☆26Updated 5 years ago
- Implementation of "A deep solver for BSDEs with jumps"☆13Updated 6 months ago
- ☆15Updated 3 years ago
- Example codes for the SIAM Journal on Scientific Computing (SISC) paper "High-Dimensional Dynamic Stochastic Model Representation"☆20Updated last year
- Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)☆50Updated 4 months ago
- Example codes for the Handbook chapter "Sparse Grids for Dynamic Economic Models" (Oxford Research Encyclopedia of Economics and Finance)☆41Updated last year
- The Toolkit for Adaptive Stochastic Modeling and Non-Intrusive ApproximatioN☆66Updated 6 months ago
- Python code for Robust Identification of Investor Beliefs☆13Updated 4 years ago
- General solver for Hamilton-Jacobi-Bellman equations☆18Updated 8 years ago
- ☆18Updated last year
- A collection of tools for working with DSGE models in python, inspired by the R package gEcon☆29Updated last month
- ☆18Updated 6 years ago
- Empirical Finance Course (PhD, Julia code)☆36Updated 5 months ago
- ☆14Updated 5 years ago
- Vector Autoregression augmented with deep learning.☆16Updated last year
- Solving and Simulating Several Heterogeneous Agents Borrowing and Savings Models☆23Updated 5 years ago
- Source code for Bazdresch, Kahn, Whited "Estimating and Testing Dynamic Corporate Finance Models"☆23Updated 7 years ago
- Deep multistep methods to solve BSDEs of first and second order for the approximation of PDE solutions☆18Updated 4 years ago
- Deep learning for solving and estimating dynamic macro-finance models☆12Updated 9 months ago
- Efficient implementations of Smolyak's algorithm for function approxmation in Python and Julia.☆32Updated 9 years ago
- Translated notes from Matlab to Python for Dave Backus's Macrofoundations class.☆15Updated 7 years ago
- Solving models with numerical methods (economics)☆11Updated last year
- Toolbox for "A Solution Method for Continuous-Time General Equilibrium Models"☆10Updated 3 years ago
- This repository contains the public databases and code for the US Federal Debt project, which has been undertaken by Professor Tom Sargen…☆10Updated 6 years ago
- ANN-based Expectations Algorithm applied to the Neoclassical Investment Model☆10Updated 2 years ago
- Julia and Python programs that implement some of the tools described in my book "Stochastic Methods in Asset Pricing" (SMAP), MIT Press 2…☆23Updated 4 years ago
- Solving High Dimensional Partial Differential Equations with Deep Neural Networks☆34Updated 3 years ago