3 papers
math.NA2024
A forward differential deep learning-based algorithm for solving high-dimensional nonlinear backward stochastic differential equations
Lorenc Kapllani, Long Teng
In this work, we present a novel forward differential deep learning-based algorithm for solving high-dimensional nonlinear backward stochastic differential equations (BSDEs). Motiv…
math.NA2024
A backward differential deep learning-based algorithm for solving high-dimensional nonlinear backward stochastic differential equations
Lorenc Kapllani, Long Teng
In this work, we propose a novel backward differential deep learning-based algorithm for solving high-dimensional nonlinear backward stochastic differential equations (BSDEs), wher…
math.NA2023
Uncertainty quantification for deep learning-based schemes for solving high-dimensional backward stochastic differential equations
Lorenc Kapllani, Long Teng, Matthias Rottmann
Deep learning-based numerical schemes for solving high-dimensional backward stochastic differential equations (BSDEs) have recently raised plenty of scientific interest. While they…