3 papers
math.NA2025
A deep solver for backward stochastic Volterra integral equations
Kristoffer Andersson, Alessandro Gnoatto, Camilo Andrés García Trillos
We present the first deep-learning solver for backward stochastic Volterra integral equations (BSVIEs) and their fully-coupled forward-backward variants. The method trains a neural…
q-fin.CP2025
Multi-Layer Deep xVA: Structural Credit Models, Measure Changes and Convergence Analysis
Kristoffer Andersson, Alessandro Gnoatto
We propose a structural default model for portfolio-wide valuation adjustments (xVAs) and represent it as a system of coupled backward stochastic differential equations. The framew…
math.PR2022
A deep solver for BSDEs with jumps
Kristoffer Andersson, Alessandro Gnoatto, Marco Patacca +1
The aim of this work is to propose an extension of the deep solver by Han, Jentzen, E (2018) to the case of forward backward stochastic differential equations (FBSDEs) with jumps.…