Convergence of a Robust Deep FBSDE Method for Stochastic Control
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Publication:5886857
DOI10.1137/22M1478057MaRDI QIDQ5886857
Adam Andersson, Kristoffer Andersson, Cornelis W. Oosterlee
Publication date: 11 April 2023
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2201.06854
Artificial neural networks and deep learning (68T07) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic systems in control theory (general) (93E03) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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Convergence of the Backward Deep BSDE Method with Applications to Optimal Stopping Problems, Numerical methods for backward stochastic differential equations: a survey, Deep learning algorithms for solving high-dimensional nonlinear backward stochastic differential equations
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