Convergence of the deep BSDE method for stochastic control problems formulated through the stochastic maximum principle
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DOI: 10.1016/j.matcom.2024.08.002
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- Maximilien Germain & Huyên Pham & Xavier Warin, 2021. "Neural networks-based algorithms for stochastic control and PDEs in finance ," Post-Print hal-03115503, HAL.
- Maximilien Germain & Huy^en Pham & Xavier Warin, 2021. "Neural networks-based algorithms for stochastic control and PDEs in finance," Papers 2101.08068, arXiv.org, revised Apr 2021.
- Achref Bachouch & Côme Huré & Nicolas Langrené & Huyên Pham, 2022. "Deep Neural Networks Algorithms for Stochastic Control Problems on Finite Horizon: Numerical Applications," Methodology and Computing in Applied Probability, Springer, vol. 24(1), pages 143-178, March.
- Bensoussan, A. & Yam, S.C.P. & Zhang, Z., 2015. "Well-posedness of mean-field type forward–backward stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 125(9), pages 3327-3354.
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Keywords
Stochastic control; Deep SMP-BSDE; Stochastic maximum principle; Vector-valued FBSDE;All these keywords.
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