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math.NA2025
Convergence of Markovian Iteration for -Coupled FBSDEs via Gaussian Smoothing
Zhipeng Huang, Cornelis W. Oosterlee
In this paper, we investigate the Markovian iteration method for coupled forward-backward stochastic differential equations (FBSDEs) with drift and deterministic…
math.NA2025
The deep multi-FBSDE method: a robust deep learning method for coupled FBSDEs
Kristoffer Andersson, Adam Andersson, Cornelis W. Oosterlee
We introduce the deep multi-FBSDE method for robust approximation of coupled forward-backward stochastic differential equations (FBSDEs), focusing on cases where the deep BSDE meth…
math.NA2025
A numerical Fourier cosine expansion method with higher order Taylor schemes for fully coupled FBSDEs
Balint Negyesi, Cornelis W. Oosterlee
A higher-order numerical method is presented for scalar valued, coupled forward-backward stochastic differential equations. Unlike most classical references, the forward component…