Deep learning scheme for forward utilities using ergodic BSDEs

DOI10.3934/puqr.2024009zbMath1542.60037MaRDI QIDQ6586869

Sarah Kaakaï, Wissal Sabbagh, Anis Matoussi, Guillaume Broux-Quemerais

Publication date: 13 August 2024

Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

zbMATH Keywords

Markovian solutionergodic BSDEsdeep learning algorithmdeep leaming schemeforward utilities

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Portfolio theory (91G10)

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