Deep learning algorithms for solving high-dimensional nonlinear backward stochastic differential equations
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Publication:6201366
additive discretizationautomatic differentiationbackward stochastic differential equationsdeep neural networkhigh-dimensional problemsnonlinear option pricingrecurrent neural network
Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Probabilistic models, generic numerical methods in probability and statistics (65C20) Numerical solutions to stochastic differential and integral equations (65C30) Artificial neural networks and deep learning (68T07)
Abstract: In this work, we propose a new deep learning-based scheme for solving high dimensional nonlinear backward stochastic differential equations (BSDEs). The idea is to reformulate the problem as a global optimization, where the local loss functions are included. Essentially, we approximate the unknown solution of a BSDE using a deep neural network and its gradient with automatic differentiation. The approximations are performed by globally minimizing the quadratic local loss function defined at each time step, which always includes the terminal condition. This kind of loss functions are obtained by iterating the Euler discretization of the time integrals with the terminal condition. Our formulation can prompt the stochastic gradient descent algorithm not only to take the accuracy at each time layer into account, but also converge to a good local minima. In order to demonstrate performances of our algorithm, several high-dimensional nonlinear BSDEs including pricing problems in finance are provided.
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Cited in
(9)- FBSDE based neural network algorithms for high-dimensional quasilinear parabolic PDEs
- A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for deep BSDE solver
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