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math.NA2021★ 2 cited
Novel multi-step predictor-corrector schemes for backward stochastic differential equations
Qiang Han, Shaolin Ji
Novel multi-step predictor-corrector numerical schemes have been derived for approximating decoupled forward-backward stochastic differential equations (FBSDEs). The stability and…
math.NA2019★ 4 cited
Three algorithms for solving high-dimensional fully-coupled FBSDEs through deep learning
Shaolin Ji, Shige Peng, Ying Peng +1
Recently, the deep learning method has been used for solving forward-backward stochastic differential equations (FBSDEs) and parabolic partial differential equations (PDEs). It has…