Convergence of a robust deep FBSDE method for stochastic control

18 January 2022

Papers citing "Convergence of a robust deep FBSDE method for stochastic control"

10 / 10 papers shown

Title
Integration Matters for Learning PDEs with Backwards SDEs Sungje Park Stephen Tu PINN 50 0 0 02 May 2025
A convergent scheme for the Bayesian filtering problem based on the Fokker--Planck equation and deep splitting Kasper Bågmark Adam Andersson S. Larsson Filip Rydin 79 0 0 20 Jan 2025
FBSJNN: A Theoretically Interpretable and Efficiently Deep Learning method for Solving Partial Integro-Differential Equations Zaijun Ye Wansheng Wang 70 0 0 15 Dec 2024
A forward differential deep learning-based algorithm for solving high-dimensional nonlinear backward stochastic differential equations Lorenc Kapllani Long Teng PINN 16 0 0 10 Aug 2024
A backward differential deep learning-based algorithm for solving high-dimensional nonlinear backward stochastic differential equations Lorenc Kapllani Long Teng 24 2 0 12 Apr 2024
Mean-field neural networks-based algorithms for McKean-Vlasov control problems * Huyen Pham X. Warin 14 9 0 22 Dec 2022
Convergence of the Backward Deep BSDE Method with Applications to Optimal Stopping Problems Chengfan Gao Siping Gao Ruimeng Hu Zimu Zhu 21 14 0 08 Oct 2022
Learning Locomotion Controllers for Walking Using Deep FBSDE Bolun Dai Virinchi Roy Surabhi P. Krishnamurthy Farshad Khorrami 21 7 0 16 Jul 2021
An overview on deep learning-based approximation methods for partial differential equations C. Beck Martin Hutzenthaler Arnulf Jentzen Benno Kuckuck 17 145 0 22 Dec 2020
Deep learning algorithms for solving high dimensional nonlinear backward stochastic differential equations Lorenc Kapllani Long Teng 6 11 0 03 Oct 2020