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Convergence of the Deep BSDE method for FBSDEs with non-Lipschitz coefficients
Probability, Uncertainty and Quantitative Risk ( IF 1.0 ) Pub Date : 2021-01-01 , DOI: 10.3934/puqr.2021019 Yifan Jiang , Jinfeng Li
Probability, Uncertainty and Quantitative Risk ( IF 1.0 ) Pub Date : 2021-01-01 , DOI: 10.3934/puqr.2021019 Yifan Jiang , Jinfeng Li
<p style='text-indent:20px;'>This paper is dedicated to solving high-dimensional coupled FBSDEs with non-Lipschitz diffusion coefficients numerically. Under mild conditions, we provided a posterior estimate of the numerical solution that holds for any time duration. This posterior estimate validates the convergence of the recently proposed Deep BSDE method. In addition, we developed a numerical scheme based on the Deep BSDE method and presented numerical examples in financial markets to demonstrate the high performance.</p>
中文翻译:
具有非 Lipschitz 系数的 FBSDE 的 Deep BSDE 方法的收敛性
<p style='text-indent:20px;'>本文致力于数值求解非Lipschitz扩散系数的高维耦合FBSDE。在温和条件下,我们提供了适用于任何持续时间的数值解的后验估计。这个后验估计验证了最近提出的 Deep BSDE 方法的收敛性。此外,我们还开发了一种基于 Deep BSDE 方法的数值方案,并在金融市场中给出了数值示例来展示其高性能。</p>
更新日期:2021-01-01
中文翻译:
具有非 Lipschitz 系数的 FBSDE 的 Deep BSDE 方法的收敛性
<p style='text-indent:20px;'>本文致力于数值求解非Lipschitz扩散系数的高维耦合FBSDE。在温和条件下,我们提供了适用于任何持续时间的数值解的后验估计。这个后验估计验证了最近提出的 Deep BSDE 方法的收敛性。此外,我们还开发了一种基于 Deep BSDE 方法的数值方案,并在金融市场中给出了数值示例来展示其高性能。</p>