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Three Algorithms for Solving High-Dimensional Fully Coupled FBSDEs Through Deep Learning
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DOI：10.1109/MIS.2020.2971597.png)
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Abstract
En 中文
Recently, the deep learning method has been used for solving forward-backward stochastic differential equations (FBSDEs) and parabolic partial differential equations, as it has good accuracy and performance for high-dimensional problems. In this article, we mainly solve fully coupled FBSDEs through deep learning and provide three algorithms, and the numerical results show remarkable performance, especially for high-dimensional cases.
Keywords:
Stochastic processes
Optimal control
Neural networks
Feedback control
Intelligent systems
Deep learning
Differential equations
deep learning
fully-coupled FBSDEs
high-dimensional equation
stochastic control
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