Mostrar o rexistro simple do ítem
Boundary-safe PINNs extension: Application to non-linear parabolic PDEs in counterparty credit risk
dc.contributor.author | Pérez Villarino, Joel | |
dc.contributor.author | Leitao, Álvaro | |
dc.contributor.author | García Rodríguez, José Antonio | |
dc.date.accessioned | 2023-03-27T12:42:32Z | |
dc.date.available | 2023-03-27T12:42:32Z | |
dc.date.issued | 2023 | |
dc.identifier.citation | J. P. Villarino, Á. Leitao, & J.A. García Rodríguez, "Boundary-safe PINNs extension: Application to non-linear parabolic PDEs in counterparty credit risk", Journal of Computational and Applied Mathematics, 425, 2023 [Online] doi:10.1016/j.cam.2022.115041, Available: https://doi.org/10.1016/j.cam.2022.115041 | es_ES |
dc.identifier.uri | http://hdl.handle.net/2183/32780 | |
dc.description.abstract | [Abstract]: The goal of this work is to develop a novel strategy for the treatment of the boundary conditions for multi-dimension nonlinear parabolic PDEs. The proposed methodology allows to get rid of the heuristic choice of the weights for the different addends that appear in the loss function related to the training process. It is based on defining the losses associated to the boundaries by means of the PDEs that arise from substituting the related conditions into the model equation itself. The approach is applied to challenging problems appearing in quantitative finance, namely, in counterparty credit risk management. Further, automatic differentiation is employed to obtain accurate approximation of the partial derivatives, the so called Greeks, that are very relevant quantities in the field. | es_ES |
dc.description.sponsorship | Xunta de Galicia; ED431C 2018/33 | es_ES |
dc.description.sponsorship | Xunta de Galicia; ED431G 2019/01 | es_ES |
dc.description.sponsorship | A.L and J.A.G.R. acknowledge the support received by the Spanish MINECO under research project number PDI2019-108584RB-I00, and by the Xunta de Galicia, Spain under grant ED431C 2018/33. All the authors thank to the support received from the CITIC research center, funded by Xunta de Galicia and the European Union (European Regional Development Fund - Galicia Program, Spain ), by grant ED431G 2019/01. | es_ES |
dc.language.iso | eng | es_ES |
dc.publisher | Elsevier B.V. | es_ES |
dc.relation | info:eu-repo/grantAgreement/AEI/l Plan Estatal de Investigación Científica y Técnica y de Innovación 2017-2020/PDI2019-108584RB-I00/ES/METODOS MATEMATICOS Y COMPUTACIONALES PARA NUEVOS RETOS EN FINANZAS CUANTITATIVAS, MEDIAMBIENTE, BIOTECNOLOGIA E INGENIERIA | es_ES |
dc.relation.uri | https://doi.org/10.1016/j.cam.2022.115041 | es_ES |
dc.rights | Atribución-NoComercial-SinDerivadas 4.0 International (CC BY-NC-ND 4.0) | es_ES |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ | * |
dc.subject | Boundary conditions | es_ES |
dc.subject | Couterparty credit risk | es_ES |
dc.subject | Deep learning | es_ES |
dc.subject | Nonlinear | es_ES |
dc.subject | PDEs | es_ES |
dc.subject | PINNs | es_ES |
dc.title | Boundary-safe PINNs extension: Application to non-linear parabolic PDEs in counterparty credit risk | es_ES |
dc.type | info:eu-repo/semantics/article | es_ES |
dc.rights.access | info:eu-repo/semantics/openAccess | es_ES |
UDC.journalTitle | Journal of Computational and Applied Mathematics | es_ES |
UDC.volume | 425 | es_ES |
UDC.startPage | 115041 | es_ES |
dc.identifier.doi | 10.1016/j.cam.2022.115041 |
Ficheiros no ítem
Este ítem aparece na(s) seguinte(s) colección(s)
-
GI-M2NICA - Artigos [57]