Numerical approximation of singular forward-backward SDEs

DOI10.1016/j.jcp.2022.111459OpenAlexW3176243905WikidataQ114163235 ScholiaQ114163235MaRDI QIDQ2168288

Mohan Yang, Jean-François Chassagneux

Publication date: 31 August 2022

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2106.15496

zbMATH Keywords

splitting schemenon-linear regressionsingular FBSDEs

Mathematics Subject Classification ID

Stochastic analysis (60Hxx) Actuarial science and mathematical finance (91Gxx) Probabilistic methods, stochastic differential equations (65Cxx)

Related Items (1)

Numerical methods for backward stochastic differential equations: a survey

Uses Software

• Keras
• Adam

Cites Work

• Unnamed Item
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