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

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scientific article

Language	Label	Description	Also known as
English	Convergence of the deep BSDE method for coupled FBSDEs	scientific article

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scholarly article

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Convergence of the deep BSDE method for coupled FBSDEs (English)

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Probability, Uncertainty and Quantitative Risk

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publication date

28 January 2021

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full work available at URL

https://arxiv.org/abs/1811.01165

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zbMATH Keywords

forward-backward SDE

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weakly coupled condition

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deep learning

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high dimension

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numerics

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describes a project that uses

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MaRDI profile type

MaRDI publication profile

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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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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1186/S41546-020-00047-W

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Sitelinks

Mathematics(1 entry)

mardi Publication:2223111

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