2 citations · 2 across the 5 of their papers we have counts for
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A numerical Fourier cosine expansion method with higher order Taylor schemes for fully coupled FBSDEs
Balint Negyesi, Cornelis W. Oosterlee
A higher-order numerical method is presented for scalar valued, coupled forward-backward stochastic differential equations. Unlike most classical references, the forward component…
Generalized convergence of the deep BSDE method: a step towards fully-coupled FBSDEs and applications in stochastic control
Balint Negyesi, Zhipeng Huang, Cornelis W. Oosterlee
We are concerned with high-dimensional coupled FBSDE systems approximated by the deep BSDE method of Han et al. (2018). It was shown by Han and Long (2020) that the errors induced…
The One Step Malliavin scheme: new discretization of BSDEs implemented with deep learning regressions
Balint Negyesi, Kristoffer Andersson, Cornelis W. Oosterlee
A novel discretization is presented for forward-backward stochastic differential equations (FBSDE) with differentiable coefficients, simultaneously solving the BSDE and its Malliav…