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math.NA2020
High-order combined Multi-step Scheme for solving forward Backward Stochastic Differential Equations
Long Teng, Weidong Zhao
In this work, in order to obtain higher-order schemes for solving forward backward stochastic differential equations, we adopt the high-order multi-step method in [W. Zhao, Y. Fu a…
math.NA2020★ 10 cited
Deep learning algorithms for solving high dimensional nonlinear backward stochastic differential equations
Lorenc Kapllani, Long Teng
In this work, we propose a new deep learning-based scheme for solving high dimensional nonlinear backward stochastic differential equations (BSDEs). The idea is to reformulate the…