Convergence of a Robust Deep FBSDE Method for Stochastic Control (Q5886857)

scientific article; zbMATH DE number 7673287

Language	Label	Description	Also known as
English	Convergence of a Robust Deep FBSDE Method for Stochastic Control	scientific article; zbMATH DE number 7673287

Statements

instance of

scholarly article

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title

Convergence of a Robust Deep FBSDE Method for Stochastic Control (English)

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author

Kristoffer Andersson

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Adam Andersson

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Cornelis W. Oosterlee

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published in

SIAM Journal on Scientific Computing

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publication date

11 April 2023

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full work available at URL

https://arxiv.org/abs/2201.06854

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zbMATH Keywords

FBSDE

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deep learning

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stochastic control

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describes a project that uses

Adam

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MaRDI profile type

MaRDI publication profile

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cites work

Backward-forward stochastic differential equations

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Deep Splitting Method for Parabolic PDEs

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Solving the Kolmogorov PDE by means of deep learning

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A forward scheme for backward SDEs

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Least-Squares Monte Carlo for Backward SDEs

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Analysis of the Generalization Error: Empirical Risk Minimization over Deep Artificial Neural Networks Overcomes the Curse of Dimensionality in the Numerical Approximation of Black--Scholes Partial Differential Equations

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Two-sided error estimates for the stochastic theta method

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On the time discretization of stochastic optimal control problems: The dynamic programming approach

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

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Gamma-convergence and optimal control problems

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Machine learning for semi linear PDEs

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Stochastic grid bundling method for backward stochastic differential equations

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On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights

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DNN expression rate analysis of high-dimensional PDEs: application to option pricing

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A probabilistic numerical method for fully nonlinear parabolic PDEs

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A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions

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

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Error expansion for the discretization of backward stochastic differential equations

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Solving BSDE with Adaptive Control Variate

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

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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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Efficient numerical Fourier methods for coupled forward-backward SDEs

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Deep backward schemes for high-dimensional nonlinear PDEs

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

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Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift

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Characterization of bistability for stochastic multistep methods

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Numerical method for backward stochastic differential equations

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Solving forward-backward stochastic differential equations explicitly -- a four step scheme

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Rate of Convergence of the Euler Approximation for Diffusion Processes

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

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

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Identifiers

DOI

10.1137/22M1478057

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5886857