An unsupervised deep learning approach in solving partial integro-differential equations
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Abstract (arXiv)
We investigate solving partial integro-differential equations (PIDEs) using unsupervised deep learning in this paper. To price options, assuming underlying processes follow Levy processes, we require to solve PIDEs. In supervised deep learning, pre-calculated labels are used to train neural networks to fit the solution of the PIDE. In an unsupervised deep learning, neural networks are employed as the solution, and the derivatives and the integrals in the PIDE are calculated based on the neural network. By matching the PIDE and its boundary conditions, the neural network gives an accurate solution of the PIDE. Once trained, it would be fast for calculating options values as well as option Greeks.
Key facts. Cited by 5 papers in the map (data through 7 Oct 2026). First posted on arXiv 26 Jun 2020.
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Citing papers per year: 2022: 1; 2023: 0; 2024: 3; 2025: 1.
5 papers.
- 2022Neural Integro-Differential Equationscited by 17
- 2024Solving High-Dimensional Partial Integral Differential Equations: The Finite Expression Methodcited by 3
- 2024CaLMFlow: Volterra Flow Matching using Causal Language Modelscited by 3
- 2025Neural Predictive Control to Coordinate Discrete- and Continuous-Time Models for Time-Series Analysis with Control-Theoretical Improvementscited by 3
- 2024UniFIDES: Universal Fractional Integro-Differential Equation Solverscited by 1
- 2025Neural Predictive Control to Coordinate Discrete- and Continuous-Time Models for Time-Series Analysis with Control-Theoretical Improvements3 Aug 2025
- 2024CaLMFlow: Volterra Flow Matching using Causal Language Models3 Oct 2024
- 2024Solving High-Dimensional Partial Integral Differential Equations: The Finite Expression Method1 Oct 2024
- 2024UniFIDES: Universal Fractional Integro-Differential Equation Solvers1 Jul 2024
- 2022Neural Integro-Differential Equations28 Jun 2022