Convergence of a Deep BSDE solver with jumps
Probability
2025-01-17 v1 Numerical Analysis
Numerical Analysis
Optimization and Control
Computational Finance
Pricing of Securities
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.
Cite
@article{arxiv.2501.09727,
title = {Convergence of a Deep BSDE solver with jumps},
author = {Alessandro Gnoatto and Katharina Oberpriller and Athena Picarelli},
journal= {arXiv preprint arXiv:2501.09727},
year = {2025}
}
Comments
33 pages