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math.OC2024
Convergence of the deep BSDE method for stochastic control problems formulated through the stochastic maximum principle
Zhipeng Huang, Balint Negyesi, Cornelis W. Oosterlee
It is well-known that decision-making problems from stochastic control can be formulated by means of a forward-backward stochastic differential equation (FBSDE). Recently, the auth…
math.OC2022★ 1 cited
Convergence of a robust deep FBSDE method for stochastic control
Kristoffer Andersson, Adam Andersson, Cornelis W. Oosterlee
In this paper, we propose a deep learning based numerical scheme for strongly coupled FBSDEs, stemming from stochastic control. It is a modification of the deep BSDE method in whic…