Zhipeng Huang

activity

20222026

most citedThe Multivariate Community Hawkes Model for Dependent Relational Events in Continuous-time Networks

5 citations · 9 across the 6 of their papers we have counts for

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2 papers · 1 filter

math.NA2025

Convergence of Markovian Iteration for $Z$ -Coupled FBSDEs via Gaussian Smoothing

Zhipeng Huang, Cornelis W. Oosterlee

In this paper, we investigate the Markovian iteration method for coupled forward-backward stochastic differential equations (FBSDEs) with drift $b (t, X_{t}, Y_{t}, Z_{t})$ and deterministic…

math.NA2024

Generalized convergence of the deep BSDE method: a step towards fully-coupled FBSDEs and applications in stochastic control

Balint Negyesi, Zhipeng Huang, Cornelis W. Oosterlee

We are concerned with high-dimensional coupled FBSDE systems approximated by the deep BSDE method of Han et al. (2018). It was shown by Han and Long (2020) that the errors induced…

Convergence of Markovian Iteration for Z-Coupled FBSDEs via Gaussian Smoothing

Generalized convergence of the deep BSDE method: a step towards fully-coupled FBSDEs and applications in stochastic control

Convergence of Markovian Iteration for $Z$ -Coupled FBSDEs via Gaussian Smoothing