Generalized convergence of the deep BSDE method: a step towards fully-coupled FBSDEs and applications in stochastic control

MaRDI QIDQ6527993arXivFDO

Authors Balint Negyesi, Zhipeng Huang, Cornelis W. Oosterlee

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Optimal stochastic control (93E20)

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