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Convergence of a Deep BSDE solver with jumps

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  • Alessandro Gnoatto
  • Katharina Oberpriller
  • Athena Picarelli

Abstract

We study the error arising in the numerical approximation of FBSDEs and related PIDEs by means of a deep learning-based method. Our results focus on decoupled FBSDEs with jumps and extend the seminal work of HAn and Long (2020) analyzing the numerical error of the deep BSDE solver proposed in E et al. (2017). We provide a priori and a posteriori error estimates for the finite and infinite activity case.

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  • Alessandro Gnoatto & Katharina Oberpriller & Athena Picarelli, 2025. "Convergence of a Deep BSDE solver with jumps," Papers 2501.09727, arXiv.org.
    • Handle: RePEc:arx:papers:2501.09727
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    File URL: http://arxiv.org/pdf/2501.09727
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