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q-fin.MF2025
A Deep Learning-Based Method for Fully Coupled Non-Markovian FBSDEs with Applications
Hasib Uddin Molla, Matthew Backhouse, Ankit Banarjee +1
In this work, we extend deep learning-based numerical methods to fully coupled forward-backward stochastic differential equations (FBSDEs) within a non-Markovian framework. Error e…
math.OC2025
Viscosity Solutions of Fully second-order HJB Equations in the Wasserstein Space
Erhan Bayraktar, Hang Cheung, Ibrahim Ekren +3
In this paper, we show that the value functions of mean field control problems with common noise are the unique viscosity solutions to fully second-order Hamilton-Jacobi-Bellman eq…