3 papers
math.OC2026
A Policy Iteration Scheme for Semilinear Stochastic Hamilton-Jacobi-Bellman Equations with Exponential Convergence
Hasib Uddin Molla, Jinniao Qiu
This paper is concerned with the non-Markovian stochastic optimal control problems in which the value function is a random field characterized by a stochastic Hamilton-Jacobi-Bellm…
q-fin.PR2026
Generative Pricing of Basket Options via Signature-Conditioned Mixture Density Networks
Hasib Uddin Molla, Antony Ware, Ilnaz Asadzadeh +1
We present a generative framework for pricing European-style basket options by learning the conditional terminal distribution of the log arithmetic-weighted basket return. A Mixtur…
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…