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Backward Deep BSDE Methods and Applications to Nonlinear Problems

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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/s40304-017-0117-6openalex-snapshot

Deep Learning-Based Numerical Methods for High-Dimensional Parabolic Partial Differential Equations and Backward Stochastic Differential Equations

inferredcites →https://doi.org/10.1073/pnas.1718942115openalex-snapshot

Solving high-dimensional partial differential equations using deep learning

inferredcites →https://doi.org/10.1080/14697688.2021.1881149openalex-snapshot

Deep learning-based least squares forward-backward stochastic differential equation solver for high-dimensional derivative pricing

inferredcites →https://doi.org/10.1090/mcom/3514openalex-snapshot

Deep backward schemes for high-dimensional nonlinear PDEs

inferredcites →https://doi.org/10.21314/jcf.2007.163openalex-snapshot

Numerical methods for controlled Hamilton-Jacobi-Bellman PDEs in finance

inferredcites →https://doi.org/10.21314/jcf.2021.016openalex-snapshot

Pricing barrier options with deep backward stochastic differential equation methods

inferredcites →https://doi.org/10.2139/ssrn.3214596openalex-snapshot

Deep Learning-Based BSDE Solver for Libor Market Model with Applications to Bermudan Swaption Pricing and Hedging

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.4645455openalex-extracted

Reinforcement Learning and Deep Stochastic Optimal Control for Final Quadratic Hedging

inferred← citeshttps://doi.org/10.1007/s42514-021-00076-7openalex-snapshot

Recent advance in machine learning for partial differential equation

inferred← citeshttps://doi.org/10.1016/j.amc.2024.129117openalex-snapshot

Deep-time neural networks: An efficient approach for solving high-dimensional PDEs

inferred← citeshttps://doi.org/10.1137/19m1267805openalex-snapshot

Deep Curve-Dependent PDEs for Affine Rough Volatility

inferred← citeshttps://doi.org/10.1214/23-ps18openalex-snapshot

Numerical methods for backward stochastic differential equations: A survey

inferred← citeshttps://doi.org/10.33540/2061openalex-snapshot

Neural networks for stochastic control and decision making in mathematical finance

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