5 citations · 6 across the 5 of their papers we have counts for
5 papers
Deep Signature Algorithm for Multi-dimensional Path-Dependent Options
Erhan Bayraktar, Qi Feng, Zhaoyu Zhang
In this work, we study the deep signature algorithms for path-dependent options. We extend the backward scheme in [Huré-Pham-Warin. Mathematics of Computation 89, no. 324 (2020)] f…
Deep Signature FBSDE Algorithm
Qi Feng, Man Luo, Zhaoyu Zhang
We propose a deep signature/log-signature FBSDE algorithm to solve forward-backward stochastic differential equations (FBSDEs) with state and path dependent features. By incorporat…
PDGM: a Neural Network Approach to Solve Path-Dependent Partial Differential Equations
Yuri F. Saporito, Zhaoyu Zhang
In this paper, we propose a novel numerical method for Path-Dependent Partial Differential Equations (PPDEs). These equations firstly appeared in the seminal work of Dupire [2009],…
Deep Learning Methods for Mean Field Control Problems with Delay
Jean-Pierre Fouque, Zhaoyu Zhang
We consider a general class of mean field control problems described by stochastic delayed differential equations of McKean-Vlasov type. Two numerical algorithms are provided based…
Mean Field Game with Delay: a Toy Model
Jean-Pierre Fouque, Zhaoyu Zhang
We study a toy model of linear-quadratic mean field game with delay. We "lift" the delayed dynamic into an infinite dimensional space, and recast the mean field game system which i…