Convergence of the Backward Deep BSDE Method with Applications to Optimal Stopping Problems-Reference-Cited by-同舟云学术

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Convergence of the Backward Deep BSDE Method with Applications to Optimal Stopping Problems

Published:2023-12-04 Issue:4 Volume:14 Page:1290-1303
ISSN:1945-497X
Container-title:SIAM Journal on Financial Mathematics
language:en
Short-container-title:SIAM J. Finan. Math.

Author:

Gao Chengfan¹,Gao Siping¹,Hu Ruimeng²^ORCID,Zhu Zimu³^ORCID

Affiliation:

1. School of Economics, Fudan University, Shanghai, China, 200433.

2. Department of Mathematics and Department of Statistics and Applied Probability, University of California, Santa Barbara, CA 93106-3080 USA.

3. Corresponding author. Department of Statistics and Applied Probability, University of California, Santa Barbara, CA 93106-3110 USA.

Funder

Faculty Career Development Award

Regents' Junior Faculty Fellowship

Research Assistance Program Award

National Science Foundation

University of California, Santa Barbara

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Applied Mathematics,Finance,Numerical Analysis

Reference23 articles.

1. A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS

2. Pricing and Hedging American-Style Options with Deep Learning

3. A forward scheme for backward SDEs

4. Time discretization and Markovian iteration for coupled FBSDEs

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1. Convergence of the deep BSDE method for stochastic control problems formulated through the stochastic maximum principle;Mathematics and Computers in Simulation;2025-01

2. Deep Signature Algorithm for Multidimensional Path-Dependent Options;SIAM Journal on Financial Mathematics;2024-03-22

3. Recent developments in machine learning methods for stochastic control and games;Numerical Algebra, Control and Optimization;2024

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