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math.OC2024
Convergence Analysis for A Stochastic Maximum Principle Based Data Driven Feedback Control Algorithm
Siming Liang, Hui Sun, Richard Archibald +1
This paper presents convergence analysis of a novel data-driven feedback control algorithm designed for generating online controls based on partial noisy observational data. The al…
math.PR2024
Solving high dimensional FBSDE with deep signature techniques with application to nonlinear options pricing
Hui Sun, Feng Bao
We report two methods for solving FBSDEs of path dependent types of high dimensions. Specifically, we propose a deep learning framework for solving such problems using path signatu…