Control variate method for deep BSDE solver using weak approximation
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asymptotic expansiondeep learningbackward stochastic differential equationweak approximationcontrol variate methoddeep BSDE solver
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)
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Cites work
- scientific article; zbMATH DE number 54145 (Why is no real title available?)
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- A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for deep BSDE solver
- A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing
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- Asymptotic expansion as prior knowledge in deep learning method for high dimensional BSDEs
- Backward Stochastic Differential Equations in Finance
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- Convergence of the deep BSDE method for coupled FBSDEs
- Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations
- Donsker's delta functions and approximation of heat kernels by the time discretization methods
- High order weak approximation for irregular functionals of time-inhomogeneous SDEs
- On validity of the asymptotic expansion approach in contingent claim analysis
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- Physics-informed neural networks: a deep learning framework for solving forward and inverse problems involving nonlinear partial differential equations
- Second order discretization of Bismut-Elworthy-Li formula: application to sensitivity analysis
- Short Communication: A Gaussian Kusuoka Approximation without Solving Random ODEs
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- Solving many-electron Schrödinger equation using deep neural networks
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Cited in
(8)- Approximation error analysis of some deep backward schemes for nonlinear PDEs
- Convergence of the deep BSDE method for coupled FBSDEs
- Convergence of a Robust Deep FBSDE Method for Stochastic Control
- Solving BSDE with Adaptive Control Variate
- Convergence of the deep BSDE method for FBSDEs with non-Lipschitz coefficients
- Deep learning algorithms for solving high-dimensional nonlinear backward stochastic differential equations
- Deep Weak Approximation of SDEs: A Spatial Approximation Scheme for Solving Kolmogorov Equations
- Deep signature FBSDE algorithm
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