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A backward differential deep learning-based algorithm for solving high-dimensional nonlinear backward stochastic differential equations
This is motivated by the fact that differential deep learning can provide an efficient approximation of the labels and their derivatives with respect to inputs.
Uncertainty quantification for deep learning-based schemes for solving high-dimensional backward stochastic differential equations
In this work, we study uncertainty quantification (UQ) for a class of deep learning-based BSDE schemes.
Deep learning algorithms for solving high dimensional nonlinear backward stochastic differential equations
In this work, we propose a new deep learning-based scheme for solving high dimensional nonlinear backward stochastic differential equations (BSDEs).
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