35 citations · 132 across the 27 of their papers we have counts for
7 papers · 1 filter
A posteriori error estimates for fully coupled McKean-Vlasov forward-backward SDEs
Christoph Reisinger, Wolfgang Stockinger, Yufei Zhang
Fully coupled McKean-Vlasov forward-backward stochastic differential equations (MV-FBSDEs) arise naturally from large population optimization problems. Judging the quality of given…
A neural network based policy iteration algorithm with global -superlinear convergence for stochastic games on domains
Kazufumi Ito, Christoph Reisinger, Yufei Zhang
In this work, we propose a class of numerical schemes for solving semilinear Hamilton-Jacobi-Bellman-Isaacs (HJBI) boundary value problems which arise naturally from exit time prob…
Rectified deep neural networks overcome the curse of dimensionality for nonsmooth value functions in zero-sum games of nonlinear stiff systems
Christoph Reisinger, Yufei Zhang
In this paper, we establish that for a wide class of controlled stochastic differential equations (SDEs) with stiff coefficients, the value functions of corresponding zero-sum game…
A penalty scheme for monotone systems with interconnected obstacles: convergence and error estimates
Christoph Reisinger, Yufei Zhang
We present a novel penalty approach for a class of quasi-variational inequalities (QVIs) involving monotone systems and interconnected obstacles. We show that for any given positiv…
A penalty scheme and policy iteration for nonlocal HJB variational inequalities with monotone drivers
Christoph Reisinger, Yufei Zhang
We propose a class of numerical schemes for nonlocal HJB variational inequalities (HJBVIs) with monotone drivers. The solution and free boundary of the HJBVI are constructed from a…
Fully Discrete Schemes and Their Analyses for Forward-Backward Stochastic Differential Equations
Kazufumi Ito, Yufei Zhang, Jun Zou
We propose some numerical schemes for forward-backward stochastic differential equations (FBSDEs) based on a new fundamental concept of transposition solutions. These schemes explo…
Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations and jumps
Roxana Dumitrescu, Christoph Reisinger, Yufei Zhang
We propose a class of numerical schemes for mixed optimal stopping and control of processes with infinite activity jumps and where the objective is evaluated by a nonlinear expecta…