Learning High-Dimensional McKean–Vlasov Forward-Backward Stochastic Differential Equations with General Distribution Dependence
DOI10.1137/22m151861xarXiv2204.11924OpenAlexW4390583044MaRDI QIDQ6184510
Ruimeng Hu, Jihao Long, Jiequn Han
Publication date: 25 January 2024
Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2204.11924
convergence analysisfictitious playmean-field gamesmaximum mean discrepancyMcKean-Vlasov FBSDEdeep BSDE
Analysis of algorithms and problem complexity (68Q25) Artificial neural networks and deep learning (68T07) Optimal stochastic control (93E20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99) Mean field games and control (49N80)
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