An NRDE-based model for solving path-dependent PDEs


Yue Wu

School of Mathematics, Strathclyde University, United Kingdom


The path-dependent partial differential equation (PPDE) was firstly introduced for path-dependent derivatives in the financial market such as Asian, barrier, and lookback options; its semilinear type was later identified as a non-Markovian BSDE. The solution of PPDE contains an infinite-dimensional spatial variable, which makes the solution approximation extremely challenging, if it is not impossible. In this talk, we propose a neural rough differential equation (NRDE) based model to learn (high dimensional) path-dependent parabolic PDEs. This resulting continuous-time model for the PDE solution has the advantage of memory efficiency and coping with variable time-frequency. Several numerical experiments are provided to validate the performance of the proposed model in compassion to strong baselines in the literature. This is joint work with Bowen Fang (University of Warwick, UK) and Hao Ni (UCL, UK).