Three algorithms for solving high-dimensional fully-coupled FBSDEs through deep learning

11 July 2019

Papers citing "Three algorithms for solving high-dimensional fully-coupled FBSDEs through deep learning"

7 / 7 papers shown

Title
An Efficient On-Policy Deep Learning Framework for Stochastic Optimal Control Mengjian Hua Matthieu Laurière Eric Vanden-Eijnden 39 3 0 07 Oct 2024
A backward differential deep learning-based algorithm for solving high-dimensional nonlinear backward stochastic differential equations Lorenc Kapllani Long Teng 36 2 0 12 Apr 2024
Convergence of a robust deep FBSDE method for stochastic control Kristoffer Andersson Adam Andersson C. Oosterlee 37 19 0 18 Jan 2022
A novel control method for solving high-dimensional Hamiltonian systems through deep neural networks Shaolin Ji S. Peng Ying Peng Xichuan Zhang 19 1 0 04 Nov 2021
An overview on deep learning-based approximation methods for partial differential equations C. Beck Martin Hutzenthaler Arnulf Jentzen Benno Kuckuck 30 146 0 22 Dec 2020
Convergence of Deep Fictitious Play for Stochastic Differential Games Jiequn Han Ruimeng Hu Jihao Long 21 19 0 12 Aug 2020
Solving stochastic optimal control problem via stochastic maximum principle with deep learning method Shaolin Ji S. Peng Ying Peng Xichuan Zhang 29 13 0 05 Jul 2020