89 citations · 251 across the 12 of their papers we have counts for
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stat.CO2022★ 3 cited
An energy-based deep splitting method for the nonlinear filtering problem
Kasper Bågmark, Adam Andersson, Stig Larsson
The purpose of this paper is to explore the use of deep learning for the solution of the nonlinear filtering problem. This is achieved by solving the Zakai equation by a deep split…
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…