Learning High-Dimensional McKean–Vlasov Forward-Backward Stochastic Differential Equations with General Distribution Dependence

DOI10.1137/22M151861XarXiv2204.11924OpenAlexW4390583044MaRDI QIDQ6184510

Ruimeng Hu, Jihao Long, Jiequn Han

Publication date: 25 January 2024

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2204.11924

zbMATH Keywords

convergence analysisfictitious playmean-field gamesmaximum mean discrepancyMcKean-Vlasov FBSDEdeep BSDE

Mathematics Subject Classification ID

Analysis of algorithms and problem complexity (68Q25) Artificial neural networks and deep learning (68T07) Optimal stochastic control (93E20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99) Mean field games and control (49N80)

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