Convergence of the Backward Deep BSDE Method with Applications to Optimal Stopping Problems
From MaRDI portal
Publication:6143826
DOI10.1137/22m1539952zbMath1527.60031arXiv2210.04118OpenAlexW4389311435MaRDI QIDQ6143826
Ruimeng Hu, Unnamed Author, Unnamed Author, Zimu Zhu
Publication date: 5 January 2024
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2210.04118
Stopping times; optimal stopping problems; gambling theory (60G40) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Cites Work
- Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations
- A numerical scheme for BSDEs
- Deep fictitious play for stochastic differential games
- Convergence analysis of machine learning algorithms for the numerical solution of mean field control and games. II: The finite horizon case
- Convergence of deep fictitious play for stochastic differential games
- Convergence of the deep BSDE method for coupled FBSDEs
- Neural network regression for Bermudan option pricing
- A monotone scheme for high-dimensional fully nonlinear PDEs
- A forward scheme for backward SDEs
- Time discretization and Markovian iteration for coupled FBSDEs
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
- A regression-based Monte Carlo method to solve backward stochastic differential equations
- A Stable Multistep Scheme for Solving Backward Stochastic Differential Equations
- PRICING OF HIGH-DIMENSIONAL AMERICAN OPTIONS BY NEURAL NETWORKS
- Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing
- Deep backward schemes for high-dimensional nonlinear PDEs
- Solving high-dimensional partial differential equations using deep learning
- Deep learning for ranking response surfaces with applications to optimal stopping problems
- Backward Stochastic Differential Equations
- Valuing American Options by Simulation: A Simple Least-Squares Approach
- Deep optimal stopping
- A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
- Convergence of a Robust Deep FBSDE Method for Stochastic Control
This page was built for publication: Convergence of the Backward Deep BSDE Method with Applications to Optimal Stopping Problems
