2 papers
math.PR2025
Deep BSDE Solver on Bounded Domains Part I: General Loss Rate
Maximilian Würschmidt
We consider a ramification of the deep BSDE loss functional designed to apply for BSDEs on bounded domains, i.e. with random (unbounded) time horizons. We derive a general converge…
math.PR2025
A Discretization Scheme for BSDEs with Random Time Horizon
Frank T. Seifried, Maximilian Würschmidt
We analyze a natural extension of the backward Euler approximation for a class of BSDEs with Lipschitz generators and random (unbounded) time horizons. We derive strong error bound…