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math.NA2025
A deep solver for backward stochastic Volterra integral equations
Kristoffer Andersson, Alessandro Gnoatto, Camilo Andrés García Trillos
We present the first deep-learning solver for backward stochastic Volterra integral equations (BSVIEs) and their fully-coupled forward-backward variants. The method trains a neural…
math.NA2021
A Fully Quantization-based Scheme for FBSDEs
Giorgia Callegaro, Alessandro Gnoatto, Martino Grasselli
We propose a quantization-based numerical scheme for a family of decoupled FBSDEs. We simplify the scheme for the control in Pagès and Sagna (2018) so that our approach is fully ba…