Proof That Artificial Neural Networks Overcome the Curse of Dimensionality in the Numerical Approximation of Black-Scholes Partial Differential Equations

Philipp Grohs, University of Vienna, Austria, and Austrian Academy of Sciences, Linz, Austria.Fabian Hornung, Karlsruhe Institute of Technology, Germany, and ETH Zurich, Switzerland.Arnulf Jentzen, The Chinese University of Hong Kong, Shenzhen, China, University of Munster, Germany, and ETH Zurich, Switzerland.Philippe von Wurstemberger, ETH Zurich, Switzerland, and The Chinese University of Hong Kong, Shenzhen, China.