73 citations · 279 across the 29 of their papers we have counts for
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math.NA2022
Deep Runge-Kutta schemes for BSDEs
Jean-François Chassagneux, Junchao Chen, Noufel Frikha
We propose a new probabilistic scheme which combines deep learning techniques with high order schemes for backward stochastic differential equations belonging to the class of Runge…
math.NA2022
Convergence of particles and tree based scheme for singular FBSDEs
Jean-François Chassagneux, Mohan Yang
We study an implementation of the theoretical splitting scheme introduced in [Chassagneux and Yang, 2022] for singular FBSDEs [Carmona and Delarue 2013] and their associated quasi-…