Deep learning algorithms for solving high-dimensional nonlinear backward stochastic differential equations

DOI10.3934/dcdsb.2023151arXiv2010.01319OpenAlexW3089807094MaRDI QIDQ6201366

Long Teng, Lorenc Kapllani

Publication date: 20 February 2024

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2010.01319

zbMATH Keywords

recurrent neural networkautomatic differentiationbackward stochastic differential equationshigh-dimensional problemsdeep neural networknonlinear option pricingadditive discretization

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Probabilistic models, generic numerical methods in probability and statistics (65C20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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