Tensorflow implementation of a Deep Learning based method to solve high-dimensional Kolmogorov equations (e.g. Black-Scholes equations arising in option pricing) and stochastic differential equations using Multilevel Monte Carlo simulation.
For more information, see: Solving stochastic differential equations and Kolmogorov equations by means of deep learning and Multilevel Monte Carlo simulation
For a mathematical error analysis, see: Analysis of the generalization error: Empirical risk minimization over deep artificial neural networks overcomes the curse of dimensionality in the numerical approximation of Black-Scholes partial differential equations