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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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

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Deep Splitting Method for Parabolic PDEs

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

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Time discretization and Markovian iteration for coupled FBSDEs

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

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Machine learning for semi linear PDEs

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

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

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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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Multilevel Picard iterations for solving smooth semilinear parabolic heat equations

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

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A probabilistic numerical method for fully nonlinear parabolic PDEs

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

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

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Approximation Error Analysis of Some Deep Backward Schemes for Nonlinear PDEs

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

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Solving BSDE with Adaptive Control Variate

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

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

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

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Solving high-dimensional partial differential equations using deep learning

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Convergence of the deep BSDE method for coupled FBSDEs

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Multilayer feedforward networks are universal approximators

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Deep backward schemes for high-dimensional nonlinear PDEs

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

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

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

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

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

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Multistep schemes for solving backward stochastic differential equations on GPU

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Backward Stochastic Differential Equations in Finance

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Q4004325

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A parallel algorithm for solving BSDEs

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

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On Numerical Approximations of Forward-Backward Stochastic Differential Equations

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Stochastic differential equations. An introduction with applications.

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Adapted solution of a backward stochastic differential equation

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Neural networks-based backward scheme for fully nonlinear PDEs

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

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

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Learning representations by back-propagating errors

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

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

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

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A numerical scheme for BSDEs

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

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

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A Stable Multistep Scheme for Solving Backward Stochastic Differential Equations

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Identifiers

arXiv ID

2010.01319

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Mathematics Subject Classification ID

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10.3934/DCDSB.2023151

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Sitelinks

Mathematics(1 entry)

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