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20172024
most citedDecomposition of convex high dimensional aggregative stochasticcontrol problems

2 citations · 4 across the 9 of their papers we have counts for

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math.NA2024

Deep learning algorithms for FBSDEs with jumps: Applications to option pricing and a MFG model for smart grids

Clémence Alasseur, Zakaria Bensaid, Roxana Dumitrescu +1

In this paper, we introduce various machine learning solvers for (coupled) forward-backward systems of stochastic differential equations (FBSDEs) driven by a Brownian motion and a…