Deep learning scheme for forward utilities using ergodic BSDEs
From MaRDI portal
Publication:6586869
Recommendations
- scientific article; zbMATH DE number 1069628
- Systems of ergodic BSDEs arising in regime switching forward performance processes
- An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior
- Ergodic BSDEs and related PDEs with Neumann boundary conditions
- A forward scheme for backward SDEs
Cites work
- scientific article; zbMATH DE number 5657859 (Why is no real title available?)
- scientific article; zbMATH DE number 1121855 (Why is no real title available?)
- scientific article; zbMATH DE number 5499205 (Why is no real title available?)
- A class of homothetic forward investment performance processes with non-zero volatility
- An exact connection between two solvable SDEs and a nonlinear utility stochastic PDE
- Asymptotic analysis of forward performance processes in incomplete markets and their ill-posed HJB equations
- BSDEs and applications
- Consistent utility of investment and consumption: a forward/backward SPDE viewpoint
- Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder's theorem
- Convergence of the deep BSDE method for coupled FBSDEs
- Convergence rate of strong approximations of compound random maps, application to SPDEs
- Deep backward schemes for high-dimensional nonlinear PDEs
- Deep learning algorithms for solving high-dimensional nonlinear backward stochastic differential equations
- Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations
- Ergodic BSDE with unbounded and multiplicative underlying diffusion and application to large time behaviour of viscosity solution of HJB equation
- Ergodic BSDEs and optimal ergodic control in Banach spaces
- Ergodic BSDEs under weak dissipative assumptions
- Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.
- First time to exit of a continuous Itô process: general moment estimates and \({\mathbf{L}}_{1}\)-convergence rate for discrete time approximations
- Least-squares Monte Carlo for backward SDEs
- Machine learning for semi linear PDEs
- Neural networks-based backward scheme for fully nonlinear PDEs
- Numerical computation for backward doubly SDEs with random terminal time
- Numerical simulation of quadratic BSDEs
- Optimal investment in defined contribution pension schemes with forward utility preferences
- Poincaré inequalities and hitting times
- Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: the principle of equivalent forward preferences
- Ramsey rule with forward/backward utility for long-term yield curves modeling
- Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE
- Spectral gaps and exponential integrability of hitting times for linear diffusions
- Stochastic Partial Differential Equations and Portfolio Choice
- Strong approximations of BSDEs in a domain
- Systems of ergodic BSDEs arising in regime switching forward performance processes
- Time-consistent pension policy with minimum guarantee and sustainability constraint
This page was built for publication: Deep learning scheme for forward utilities using ergodic BSDEs
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6586869)
