Deep learning algorithms for solving high-dimensional nonlinear backward stochastic differential equations (Q6201366): Difference between revisions

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scientific article; zbMATH DE number 7807487

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English	Deep learning algorithms for solving high-dimensional nonlinear backward stochastic differential equations	scientific article; zbMATH DE number 7807487

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instance of

scholarly article

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title

Deep learning algorithms for solving high-dimensional nonlinear backward stochastic differential equations (English)

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Discrete and Continuous Dynamical Systems. Series B

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publication date

20 February 2024

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full work available at URL

https://arxiv.org/abs/2010.01319

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zbMATH Keywords

backward stochastic differential equations

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high-dimensional problems

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deep neural network

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recurrent neural network

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automatic differentiation

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additive discretization

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nonlinear option pricing

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MaRDI profile type

Publication

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cites work

Convergence of a Robust Deep FBSDE Method for Stochastic Control

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CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP

0 references

Deep Splitting Method for Parabolic PDEs

0 references

Numerical Simulations for Full History Recursive Multilevel Picard Approximations for Systems of High-Dimensional Partial Differential Equations

0 references

Time discretization and Markovian iteration for coupled FBSDEs

0 references

Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations

0 references

Machine learning for semi linear PDEs

0 references

Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions

0 references

Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing

0 references

Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations

0 references

On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations

0 references

Multilevel Picard iterations for solving smooth semilinear parabolic heat equations

0 references

Backward stochastic differential equations with enlarged filtration: Option hedging of an insider trader in a financial market with jumps

0 references

A probabilistic numerical method for fully nonlinear parabolic PDEs

0 references

Efficient spectral sparse grid approximations for solving multi-dimensional forward backward sdes

0 references

Asymptotic expansion as prior knowledge in deep learning method for high dimensional BSDEs

0 references

Approximation Error Analysis of Some Deep Backward Schemes for Nonlinear PDEs

0 references

Deep xVA Solver: A Neural Network–Based Counterparty Credit Risk Management Framework

0 references

Solving BSDE with Adaptive Control Variate

0 references

A regression-based Monte Carlo method to solve backward stochastic differential equations

0 references

Stratified Regression Monte-Carlo Scheme for Semilinear PDEs and BSDEs with Large Scale Parallelization on GPUs

0 references

Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions

0 references

Solving high-dimensional partial differential equations using deep learning

0 references

Convergence of the deep BSDE method for coupled FBSDEs

0 references

Multilayer feedforward networks are universal approximators

0 references

Deep backward schemes for high-dimensional nonlinear PDEs

0 references

Overcoming the curse of dimensionality in the numerical approximation of parabolic partial differential equations with gradient-dependent nonlinearities

0 references

A proof that rectified deep neural networks overcome the curse of dimensionality in the numerical approximation of semilinear heat equations

0 references

Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations

0 references

Overcoming the curse of dimensionality in the numerical approximation of semilinear parabolic partial differential equations

0 references

Multilevel Picard approximations of high-dimensional semilinear partial differential equations with locally monotone coefficient functions

0 references

Convergence of the deep BSDE method for FBSDEs with non-Lipschitz coefficients

0 references

Multistep schemes for solving backward stochastic differential equations on GPU

0 references

Backward Stochastic Differential Equations in Finance

0 references

Q4004325

0 references

A parallel algorithm for solving BSDEs

0 references

Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations

0 references

On Numerical Approximations of Forward-Backward Stochastic Differential Equations

0 references

Stochastic differential equations. An introduction with applications.

0 references

Adapted solution of a backward stochastic differential equation

0 references

Neural networks-based backward scheme for fully nonlinear PDEs

0 references

Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance

0 references

A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs

0 references

Learning representations by back-propagating errors

0 references

A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for deep BSDE solver

0 references

Gradient boosting-based numerical methods for high-dimensional backward stochastic differential equations

0 references

A Sparse-Grid Method for Multi-Dimensional Backward Stochastic Differential Equations

0 references

A numerical scheme for BSDEs

0 references

A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations

0 references

New Kinds of High-Order Multistep Schemes for Coupled Forward Backward Stochastic Differential Equations

0 references

A Stable Multistep Scheme for Solving Backward Stochastic Differential Equations

0 references

Identifiers

arXiv ID

2010.01319

0 references

DOI

10.3934/dcdsb.2023151

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6201366

@@ Property / cites work @@
+Convergence of a Robust Deep FBSDE Method for Stochastic Control
+Normal rank
@@ Property / cites work @@
+CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP
+Normal rank
@@ Property / cites work @@
+Deep Splitting Method for Parabolic PDEs
@@ Property / cites work: Deep Splitting Method for Parabolic PDEs / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical Simulations for Full History Recursive Multilevel Picard Approximations for Systems of High-Dimensional Partial Differential Equations
+Normal rank
@@ Property / cites work @@
+Time discretization and Markovian iteration for coupled FBSDEs
+Normal rank
@@ Property / cites work @@
+Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Machine learning for semi linear PDEs
@@ Property / cites work: Machine learning for semi linear PDEs / rank @@
+Normal rank
@@ Property / cites work @@
+Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions
+Normal rank
@@ Property / cites work @@
+Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing
+Normal rank
@@ Property / cites work @@
+Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Multilevel Picard iterations for solving smooth semilinear parabolic heat equations
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations with enlarged filtration: Option hedging of an insider trader in a financial market with jumps
+Normal rank
@@ Property / cites work @@
+A probabilistic numerical method for fully nonlinear parabolic PDEs
+Normal rank
@@ Property / cites work @@
+Efficient spectral sparse grid approximations for solving multi-dimensional forward backward sdes
+Normal rank
@@ Property / cites work @@
+Asymptotic expansion as prior knowledge in deep learning method for high dimensional BSDEs
+Normal rank
@@ Property / cites work @@
+Approximation Error Analysis of Some Deep Backward Schemes for Nonlinear PDEs
+Normal rank
@@ Property / cites work @@
+Deep xVA Solver: A Neural Network–Based Counterparty Credit Risk Management Framework
+Normal rank
@@ Property / cites work @@
+Solving BSDE with Adaptive Control Variate
@@ Property / cites work: Solving BSDE with Adaptive Control Variate / rank @@
+Normal rank
@@ Property / cites work @@
+A regression-based Monte Carlo method to solve backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Stratified Regression Monte-Carlo Scheme for Semilinear PDEs and BSDEs with Large Scale Parallelization on GPUs
+Normal rank
@@ Property / cites work @@
+Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions
+Normal rank
@@ Property / cites work @@
+Solving high-dimensional partial differential equations using deep learning
+Normal rank
@@ Property / cites work @@
+Convergence of the deep BSDE method for coupled FBSDEs
+Normal rank
@@ Property / cites work @@
+Multilayer feedforward networks are universal approximators
+Normal rank
@@ Property / cites work @@
+Deep backward schemes for high-dimensional nonlinear PDEs
+Normal rank
@@ Property / cites work @@
+Overcoming the curse of dimensionality in the numerical approximation of parabolic partial differential equations with gradient-dependent nonlinearities
+Normal rank
@@ Property / cites work @@
+A proof that rectified deep neural networks overcome the curse of dimensionality in the numerical approximation of semilinear heat equations
+Normal rank
@@ Property / cites work @@
+Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Overcoming the curse of dimensionality in the numerical approximation of semilinear parabolic partial differential equations
+Normal rank
@@ Property / cites work @@
+Multilevel Picard approximations of high-dimensional semilinear partial differential equations with locally monotone coefficient functions
+Normal rank
@@ Property / cites work @@
+Convergence of the deep BSDE method for FBSDEs with non-Lipschitz coefficients
+Normal rank
@@ Property / cites work @@
+Multistep schemes for solving backward stochastic differential equations on GPU
+Normal rank
@@ Property / cites work @@
+Backward Stochastic Differential Equations in Finance
+Normal rank
@@ Property / cites work @@
+Q4004325
@@ Property / cites work: Q4004325 / rank @@
+Normal rank
@@ Property / cites work @@
+A parallel algorithm for solving BSDEs
@@ Property / cites work: A parallel algorithm for solving BSDEs / rank @@
+Normal rank
@@ Property / cites work @@
+Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+On Numerical Approximations of Forward-Backward Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Stochastic differential equations. An introduction with applications.
+Normal rank
@@ Property / cites work @@
+Adapted solution of a backward stochastic differential equation
+Normal rank
@@ Property / cites work @@
+Neural networks-based backward scheme for fully nonlinear PDEs
+Normal rank
@@ Property / cites work @@
+Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance
+Normal rank
@@ Property / cites work @@
+A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs
+Normal rank
@@ Property / cites work @@
+Learning representations by back-propagating errors
+Normal rank
@@ Property / cites work @@
+A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for deep BSDE solver
+Normal rank
@@ Property / cites work @@
+Gradient boosting-based numerical methods for high-dimensional backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+A Sparse-Grid Method for Multi-Dimensional Backward Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+A numerical scheme for BSDEs
@@ Property / cites work: A numerical scheme for BSDEs / rank @@
+Normal rank
@@ Property / cites work @@
+A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+New Kinds of High-Order Multistep Schemes for Coupled Forward Backward Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+A Stable Multistep Scheme for Solving Backward Stochastic Differential Equations
+Normal rank