97 citations · 117 across the 5 of their papers we have counts for
3 papers · 1 filter
Deep neural networks algorithms for stochastic control problems on finite horizon: convergence analysis
Côme Huré, Huyên Pham, Achref Bachouch +1
This paper develops algorithms for high-dimensional stochastic control problems based on deep learning and dynamic programming. Unlike classical approximate dynamic programming app…
Zhang -Regularity for the solutions of Backward Doubly Stochastic Differential Equations under globally Lipschitz continuous assumptions
Achref Bachouch, Anis Matoussi
We prove an -regularity result for the solutions of Forward Backward Doubly Stochastic Differentiel Equations (FBDSDEs in short) under globally Lipschitz continuous assumption…
Euler time discretization of Backward Doubly SDEs and Application to Semilinear SPDEs
Achref Bachouch, Mohamed Anis Ben Lasmar, Anis Matoussi +1
This paper investigates a numerical probabilistic method for the solution of some semilinear stochastic partial differential equations (SPDEs in short). The numerical scheme is bas…