Using deep learning approaches to solve partial differential equation in high dimensions. Example on the Black-Scholes equation.
The main file to configure and run the model is:
- FBSNN.ipynb
This implementation relies on the files:
- FBSNN.py
- run_model.py
- gradient_descent.py
The toys examples are:
- toy_example_1D.ipynb
- toy_example_2D.ipynb
- toy_example_implicit.ipynb
- toy_example_proxy.ipynb