Gradient boosting-based numerical methods for high-dimensional backward stochastic differential equations
Numerical Analysis
2021-07-15 v1 Numerical Analysis
Abstract
In this work we propose a new algorithm for solving high-dimensional backward stochastic differential equations (BSDEs). Based on the general theta-discretization for the time-integrands, we show how to efficiently use eXtreme Gradient Boosting (XGBoost) regression to approximate the resulting conditional expectations in a quite high dimension. Numerical results illustrate the efficiency and accuracy of our proposed algorithms for solving very high-dimensional (up to dimensions) nonlinear BSDEs.
Keywords
Cite
@article{arxiv.2107.06673,
title = {Gradient boosting-based numerical methods for high-dimensional backward stochastic differential equations},
author = {Long Teng},
journal= {arXiv preprint arXiv:2107.06673},
year = {2021}
}
Comments
26 pages, 5 figures