2 papers
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.NA2025
The deep multi-FBSDE method: a robust deep learning method for coupled FBSDEs
Kristoffer Andersson, Adam Andersson, Cornelis W. Oosterlee
We introduce the deep multi-FBSDE method for robust approximation of coupled forward-backward stochastic differential equations (FBSDEs), focusing on cases where the deep BSDE meth…