The deep multi-FBSDE method: a robust deep learning method for coupled FBSDEs

DOI10.1007/S10915-026-03202-1MaRDI QIDQ6834214zbMATH OpenFDO

Authors Kristoffer Andersson, Adam Andersson, Cornelis W. Oosterlee

Publication date 31 March 2026

Published in Journal of Scientific Computing (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S10915-026-03202-1

zbMATH Keywords

forward-backward stochastic differential equationsneural networksnumerical methodsparabolic PDE

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Artificial neural networks and deep learning (68T07)

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