Showing math.PRShow all
2 papers · 1 filter
math.PR2025
A deep solver for BSDEs with jumps
Kristoffer Andersson, Alessandro Gnoatto, Marco Patacca +1
The aim of this work is to propose an extension of the deep solver by Han, Jentzen, E (2018) to the case of forward backward stochastic differential equations (FBSDEs) with jumps.…
math.PR2025
Convergence of a Deep BSDE solver with jumps
Alessandro Gnoatto, Katharina Oberpriller, Athena Picarelli
We study the error arising in the numerical approximation of FBSDEs and related PIDEs by means of a deep learning-based method. Our results focus on decoupled FBSDEs with jumps and…