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math.PR2018★ 97 cited
Deep neural networks algorithms for stochastic control problems on finite horizon: convergence analysis
Côme Huré, Huyên Pham, Achref Bachouch +1
This paper develops algorithms for high-dimensional stochastic control problems based on deep learning and dynamic programming. Unlike classical approximate dynamic programming app…
math.PR2013★ 93 cited
A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization
Idris Kharroubi, Nicolas Langrené, Huyên Pham
We propose a probabilistic numerical algorithm to solve Backward Stochastic Differential Equations (BSDEs) with nonnegative jumps, a class of BSDEs introduced in [9] for representi…