Convergence of a Robust Deep FBSDE Method for Stochastic Control-Reference-Cited by-同舟云学术

Convergence of a Robust Deep FBSDE Method for Stochastic Control

Published:2023-02-23 Issue:1 Volume:45 Page:A226-A255
ISSN:1064-8275
Container-title:SIAM Journal on Scientific Computing
language:en
Short-container-title:SIAM J. Sci. Comput.

Author:

Andersson Kristoffer¹^ORCID,Andersson Adam²^ORCID,Oosterlee C. W.³

Affiliation:

1. Research Group of Scientific Computing, Centrum Wiskunde & Informatica, Amsterdam, Netherlands.

2. Research Group of Computational Mathematics, Chalmers University of Technology and the University of Gothenburg, and Saab AB Radar Solutions, Gothenburg, Sweden.

3. Mathematical Institute, Utrecht University, Utrecht, Netherlands.

Funder

European Union

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Applied Mathematics,Computational Mathematics

Reference38 articles.

1. Deep Splitting Method for Parabolic PDEs

2. Solving the Kolmogorov PDE by Means of Deep Learning

3. Machine Learning Approximation Algorithms for High-Dimensional Fully Nonlinear Partial Differential Equations and Second-order Backward Stochastic Differential Equations

4. A forward scheme for backward SDEs

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