Convergence of the Deep BSDE Method for Coupled FBSDEs

3 November 2018

Papers citing "Convergence of the Deep BSDE Method for Coupled FBSDEs"

30 / 30 papers shown

Title
Reverse-BSDE Monte Carlo Jairon H. N. Batista Flávio B. Gonçalves Yuri F. Saporito Rodrigo S. Targino DiffM 31 0 0 11 May 2025
Full error analysis of the random deep splitting method for nonlinear parabolic PDEs and PIDEs Ariel Neufeld Philipp Schmocker Sizhou Wu 45 7 0 08 May 2024
A backward differential deep learning-based algorithm for solving high-dimensional nonlinear backward stochastic differential equations Lorenc Kapllani Long Teng 31 2 0 12 Apr 2024
Score-based Generative Modeling Through Backward Stochastic Differential Equations: Inversion and Generation Zihao Wang DiffM 38 4 0 26 Apr 2023
Deep Signature Algorithm for Multi-dimensional Path-Dependent Options Erhan Bayraktar Qiaochu Feng Zhao-qin Zhang 33 2 0 21 Nov 2022
Approximating Discontinuous Nash Equilibrial Values of Two-Player General-Sum Differential Games Lei Zhang Mukesh Ghimire Wenlong Zhang Zhenni Xu Yi Ren 30 7 0 05 Jul 2022
Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning Anthony Coache S. Jaimungal Á. Cartea 28 13 0 29 Jun 2022
Convergence of a robust deep FBSDE method for stochastic control Kristoffer Andersson Adam Andersson C. Oosterlee 34 19 0 18 Jan 2022
Interpolating between BSDEs and PINNs: deep learning for elliptic and parabolic boundary value problems Nikolas Nusken Lorenz Richter PINN DiffM 31 27 0 07 Dec 2021
A novel control method for solving high-dimensional Hamiltonian systems through deep neural networks Shaolin Ji S. Peng Ying Peng Xichuan Zhang 19 1 0 04 Nov 2021
Deep Learning for Mean Field Games and Mean Field Control with Applications to Finance René Carmona Mathieu Laurière AI4CE 20 26 0 09 Jul 2021
Reproducing Activation Function for Deep Learning Senwei Liang Liyao Lyu Chunmei Wang Haizhao Yang 36 21 0 13 Jan 2021
An overview on deep learning-based approximation methods for partial differential equations C. Beck Martin Hutzenthaler Arnulf Jentzen Benno Kuckuck 30 146 0 22 Dec 2020
Solving non-linear Kolmogorov equations in large dimensions by using deep learning: a numerical comparison of discretization schemes Raffaele Marino N. Macris 24 16 0 09 Dec 2020
Large-Scale Multi-Agent Deep FBSDEs T. Chen Ziyi Wang Ioannis Exarchos Evangelos A. Theodorou 24 4 0 21 Nov 2020
Convergence of Deep Fictitious Play for Stochastic Differential Games Jiequn Han Ruimeng Hu Jihao Long 19 19 0 12 Aug 2020
Solving stochastic optimal control problem via stochastic maximum principle with deep learning method Shaolin Ji S. Peng Ying Peng Xichuan Zhang 24 13 0 05 Jul 2020
Two-Layer Neural Networks for Partial Differential Equations: Optimization and Generalization Theory Tao Luo Haizhao Yang 32 74 0 28 Jun 2020
Space-time deep neural network approximations for high-dimensional partial differential equations F. Hornung Arnulf Jentzen Diyora Salimova AI4CE 29 19 0 03 Jun 2020
Overall error analysis for the training of deep neural networks via stochastic gradient descent with random initialisation Arnulf Jentzen Timo Welti 22 15 0 03 Mar 2020
Solving high-dimensional eigenvalue problems using deep neural networks: A diffusion Monte Carlo like approach Jiequn Han Jianfeng Lu Mo Zhou DiffM 12 83 0 07 Feb 2020
Uniform error estimates for artificial neural network approximations for heat equations Lukas Gonon Philipp Grohs Arnulf Jentzen David Kofler David Siska 29 34 0 20 Nov 2019
Space-time error estimates for deep neural network approximations for differential equations Philipp Grohs F. Hornung Arnulf Jentzen Philipp Zimmermann 29 33 0 11 Aug 2019
Convergence Analysis of Machine Learning Algorithms for the Numerical Solution of Mean Field Control and Games: II -- The Finite Horizon Case René Carmona Mathieu Laurière 11 94 0 05 Aug 2019
Three algorithms for solving high-dimensional fully-coupled FBSDEs through deep learning Shaolin Ji S. Peng Ying Peng Xichuan Zhang AI4CE 13 52 0 11 Jul 2019
Deep splitting method for parabolic PDEs C. Beck S. Becker Patrick Cheridito Arnulf Jentzen Ariel Neufeld 23 125 0 08 Jul 2019
A neural network based policy iteration algorithm with global $H^2$ -superlinear convergence for stochastic games on domains Kazufumi Ito C. Reisinger Yufei Zhang 14 27 0 05 Jun 2019
Deep Fictitious Play for Stochastic Differential Games Ruimeng Hu 25 29 0 22 Mar 2019
Deep neural networks algorithms for stochastic control problems on finite horizon: convergence analysis Côme Huré H. Pham Achref Bachouch N. Langrené 13 64 0 11 Dec 2018
Unbiased deep solvers for linear parametric PDEs Marc Sabate Vidales David Siska Lukasz Szpruch OOD 32 7 0 11 Oct 2018