4 papers
A Policy Iteration Scheme for Semilinear Stochastic Hamilton-Jacobi-Bellman Equations with Exponential Convergence
Hasib Uddin Molla, Jinniao Qiu
This paper is concerned with the non-Markovian stochastic optimal control problems in which the value function is a random field characterized by a stochastic Hamilton-Jacobi-Bellm…
A Deep Learning-Based Method for Fully Coupled Non-Markovian FBSDEs with Applications
Hasib Uddin Molla, Matthew Backhouse, Ankit Banarjee +1
In this work, we extend deep learning-based numerical methods to fully coupled forward-backward stochastic differential equations (FBSDEs) within a non-Markovian framework. Error e…
Generative Pricing of Basket Options via Signature-Conditioned Mixture Density Networks
Hasib Uddin Molla, Antony Ware, Ilnaz Asadzadeh +1
We present a generative framework for pricing European-style basket options by learning the conditional terminal distribution of the log arithmetic-weighted basket return. A Mixtur…
Numerical Approximations of Coupled Forward-Backward SPDEs
Hasib Uddin Molla, Jinniao Qiu
We propose and study a scheme combining the finite element method and machine learning techniques for the numerical approximations of coupled nonlinear forward-backward stochastic…