Convergence of deep fictitious play for stochastic differential games
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Publication:2170300
DOI10.3934/FMF.2021011zbMath1496.91015arXiv2008.05519OpenAlexW3122298896MaRDI QIDQ2170300
Jiequn Han, Ruimeng Hu, Jihao Long
Publication date: 30 August 2022
Published in: Frontiers of Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2008.05519
convergence analysisbackward stochastic differential equationsstochastic differential gamesMarkovian Nash equilibriumdeep fictitious play
Artificial neural networks and deep learning (68T07) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Stochastic games, stochastic differential games (91A15)
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