Deep neural networks algorithms for stochastic control problems on finite horizon: numerical applications

no code implementations • 13 Dec 2018 • Achref Bachouch, Côme Huré, Nicolas Langrené, Huyen Pham

This paper presents several numerical applications of deep learning-based algorithms that have been introduced in [HPBL18].

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Deep neural networks algorithms for stochastic control problems on finite horizon: convergence analysis

no code implementations • 11 Dec 2018 • Côme Huré, Huyên Pham, Achref Bachouch, Nicolas Langrené

This paper develops algorithms for high-dimensional stochastic control problems based on deep learning and dynamic programming.

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