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most citedThe One Step Malliavin scheme: new discretization of BSDEs implemented with deep learning regressions

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math.OC2024

Convergence of the deep BSDE method for stochastic control problems formulated through the stochastic maximum principle

Zhipeng Huang, Balint Negyesi, Cornelis W. Oosterlee

It is well-known that decision-making problems from stochastic control can be formulated by means of a forward-backward stochastic differential equation (FBSDE). Recently, the auth…