Numerical approximation of singular forward-backward SDEs

DOI10.1016/J.JCP.2022.111459MaRDI QIDQ2168288zbMATH OpenOpenAlexWikidataFDO

Authors Jean-Francois Chassagneux, Mohan Yang

Publication date 31 August 2022

Published in Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2106.15496

zbMATH Keywords

splitting schemenon-linear regressionsingular FBSDEs

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91Gxx) Stochastic analysis (60Hxx) Probabilistic methods, stochastic differential equations (65Cxx)

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Cites work

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Cited in

(3)

• Numerical approximation of singular Forward-Backward SDEs
• Numerical methods for backward stochastic differential equations: a survey
• Numerical approximation of irregular SDEs via Skorokhod embeddings

Describes a project that uses

Uses Software

• Keras
• Adam

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