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Convergence of a Deep BSDE solver with jumps

Author

Listed:
  • Alessandro Gnoatto

    (Department of Economics (University of Verona))

  • Katharina Oberpriller

    (Department of Economics (University of Verona))

  • Athena Picarelli

    (Department of Economics (University of Verona))

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 (2018) 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.

Suggested Citation

  • Alessandro Gnoatto & Katharina Oberpriller & Athena Picarelli, 2025. "Convergence of a Deep BSDE solver with jumps," Working Papers 02/2025, University of Verona, Department of Economics.
    • Handle: RePEc:ver:wpaper:02/2025
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