Convergence of a Robust Deep FBSDE Method for Stochastic Control
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Cites work
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Cited in
(19)- Mean-field neural networks-based algorithms for McKean-Vlasov control problems
- Deep learning numerical methods for high-dimensional quasilinear PIDEs and coupled FBSDEs with jumps
- Convergence of the Backward Deep BSDE Method with Applications to Optimal Stopping Problems
- Convergence of the deep BSDE method for stochastic control problems formulated through the stochastic maximum principle
- Deep-time neural networks: an efficient approach for solving high-dimensional PDEs
- A backward differential deep learning-based algorithm for solving high-dimensional nonlinear backward stochastic differential equations
- State constrained stochastic optimal control for continuous and hybrid dynamical systems using DFBSDE
- Convergence of the deep BSDE method for coupled FBSDEs
- A deep solver for backward stochastic Volterra integral equations
- Deep random difference method for high-dimensional quasilinear parabolic partial differential equations
- Deep learning algorithms for solving high-dimensional nonlinear backward stochastic differential equations
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- Convergence of a robust deep FBSDE method for stochastic control
- Numerical methods for backward stochastic differential equations: a survey
- A novel control method for solving high-dimensional Hamiltonian systems through deep neural networks
- Highly accurate numerical schemes for stochastic optimal control via FBSDEs
- Deep signature FBSDE algorithm
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