English

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 1000010000 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

R2 v1 2026-06-24T04:11:24.906Z