2 papers
math.OC2026
A Posteriori Error Analysis for Decoupled Neural Approximations of Fully Coupled FBSDEs with Control Mismatch
Xichuan Zhang
This paper develops an a posteriori error analysis framework for decoupled neural approximations of fully coupled forward--backward stochastic differential equations (FBSDEs). It p…
math.OC2024
A deep learning method for solving stochastic optimal control problems driven by fully-coupled FBSDEs
Shaolin Ji, Shige Peng, Ying Peng +1
In this paper,we mainly focus on the numerical solution of high-dimensional stochastic optimal control problem driven by fully-coupled forward-backward stochastic differential equa…