Convergence of the Deep BSDE method for FBSDEs with non-Lipschitz coefficients
Probability
2022-01-19 v2 Numerical Analysis
Numerical Analysis
Optimization and Control
Abstract
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.
Keywords
Cite
@article{arxiv.2101.01869,
title = {Convergence of the Deep BSDE method for FBSDEs with non-Lipschitz coefficients},
author = {Yifan Jiang and Jinfeng Li},
journal= {arXiv preprint arXiv:2101.01869},
year = {2022}
}
Comments
19 pages, 2 figures