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math.OC2019
Numerical resolution of McKean-Vlasov FBSDEs using neural networks
Maximilien Germain, Joseph Mikael, Xavier Warin
We propose several algorithms to solve McKean-Vlasov Forward Backward Stochastic Differential Equations. Our schemes rely on the approximating power of neural networks to estimate…
math.OC2019
Neural networks-based backward scheme for fully nonlinear PDEs
Huyen Pham, Xavier Warin, Maximilien Germain
We propose a numerical method for solving high dimensional fully nonlinear partial differential equations (PDEs). Our algorithm estimates simultaneously by backward time induction…