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math.OC2026
Convergence of fictitious play for fully coupled FBSDEs in finite-player stochastic differential games
Adam Andersson, Kristoffer Andersson, Per Ljung
In this article we investigate the theoretical convergence properties of the fictitious-play approximation procedure applied to coupled FBSDE systems for finite-player non-zero-sum…
math.OC2022★ 1 cited
Convergence of a robust deep FBSDE method for stochastic control
Kristoffer Andersson, Adam Andersson, Cornelis W. Oosterlee
In this paper, we propose a deep learning based numerical scheme for strongly coupled FBSDEs, stemming from stochastic control. It is a modification of the deep BSDE method in whic…