10 citations · 15 across the 5 of their papers we have counts for
5 papers
A forward differential deep learning-based algorithm for solving high-dimensional nonlinear backward stochastic differential equations
Lorenc Kapllani, Long Teng
In this work, we present a novel forward differential deep learning-based algorithm for solving high-dimensional nonlinear backward stochastic differential equations (BSDEs). Motiv…
A backward differential deep learning-based algorithm for solving high-dimensional nonlinear backward stochastic differential equations
Lorenc Kapllani, Long Teng
In this work, we propose a novel backward differential deep learning-based algorithm for solving high-dimensional nonlinear backward stochastic differential equations (BSDEs), wher…
Uncertainty quantification for deep learning-based schemes for solving high-dimensional backward stochastic differential equations
Lorenc Kapllani, Long Teng, Matthias Rottmann
Deep learning-based numerical schemes for solving high-dimensional backward stochastic differential equations (BSDEs) have recently raised plenty of scientific interest. While they…
Deep learning algorithms for solving high dimensional nonlinear backward stochastic differential equations
Lorenc Kapllani, Long Teng
In this work, we propose a new deep learning-based scheme for solving high dimensional nonlinear backward stochastic differential equations (BSDEs). The idea is to reformulate the…
Multistep schemes for solving backward stochastic differential equations on GPU
Lorenc Kapllani, Long Teng
The goal of this work is to parallelize the multistep scheme for the numerical approximation of the backward stochastic differential equations (BSDEs) in order to achieve both, a h…