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math.NA2025
Deep Forward-Backward Dynamic Programming Schemes for High-Dimensional Semilinear Nonlocal PDEs and FBSDE with Jumps
Wansheng Wang, Jiangtao Pan, Jie Wang +1
We propose a new deep learning algorithm for solving high-dimensional parabolic integro-differential equations (PIDEs) and forward-backward stochastic differential equations with j…
math.NA2024
FBSJNN: A Theoretically Interpretable and Efficiently Deep Learning method for Solving Partial Integro-Differential Equations
Zaijun Ye, Wansheng Wang
We propose a novel framework for solving a class of Partial Integro-Differential Equations (PIDEs) and Forward-Backward Stochastic Differential Equations with Jumps (FBSDEJs) throu…