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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…