Convergence of the deep BSDE method for coupled FBSDEs (Q2223111): Difference between revisions

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+Backward-forward stochastic differential equations
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+Universal approximation bounds for superpositions of a sigmoidal function
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+Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations
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+Least-Squares Monte Carlo for Backward SDEs
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+Time discretization and Markovian iteration for coupled FBSDEs
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+On the Malliavin approach to Monte Carlo approximation of conditional expectations
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+Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
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+Approximation by superpositions of a sigmoidal function
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+Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations
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+On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations
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+Solving high-dimensional partial differential equations using deep learning
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+Branching diffusion representation of semilinear PDEs and Monte Carlo approximation
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+Multilayer feedforward networks are universal approximators
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+Efficient numerical Fourier methods for coupled forward-backward SDEs
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+A proof that rectified deep neural networks overcome the curse of dimensionality in the numerical approximation of semilinear heat equations
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+Solving forward-backward stochastic differential equations explicitly -- a four step scheme
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+Deep vs. shallow networks: An approximation theory perspective
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+Numerical Algorithms for Forward-Backward Stochastic Differential Equations
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+Forward-backward stochastic differential equations and quasilinear parabolic PDEs
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+A numerical scheme for BSDEs
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