Convergence of the deep BSDE method for coupled FBSDEs

Han, JQ; Long, JH

Han, JQ (corresponding author), Princeton Univ, Dept Math, Princeton, NJ 08544 USA.

PROBABILITY UNCERTAINTY AND QUANTITATIVE RISK, 2020; 5 (1):

Abstract

The recently proposed numerical algorithm, deep BSDE method, has shown remarkable performance in solving high-dimensional forward-backward stochastic ......

Full Text Link