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20042023
most citedDeep neural networks algorithms for stochastic control problems on finite horizon: convergence analysis

97 citations · 798 across the 62 of their papers we have counts for

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Showing 2011 · q-fin.CPShow all

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q-fin.CP2011

Swing Options Valuation: a BSDE with Constrained Jumps Approach

Marie Bernhart, Huyên Pham, Peter Tankov +1

We introduce a new probabilistic method for solving a class of impulse control problems based on their representations as Backward Stochastic Differential Equations (BSDEs for shor…