A deep-genetic algorithm (deep-GA) approach for high-dimensional nonlinear parabolic partial differential equations

Endah Rokhmati Merdika Putri, Muhammad Luthfi Shahab, Mohammad Iqbal, Imam Mukhlash, Amirul Hakam, Lutfi Mardianto, Hadi Susanto

Abstract: Highlights•We introduce a deep-GA method.•The method provides a better accuracy and efficiency than the deep-BSDE solver.•Efficiency and accuracy is obtained by embedding a genetic algorithm (GA).•We solve the Black-Scholes with default risk and Hamilton-Jacobi-Bellman equations.