Asymptotic Expansion as Prior Knowledge in Deep Learning Method for high dimensional BSDEs
Computational Finance
2019-03-06 v3 Mathematical Finance
Abstract
We demonstrate that the use of asymptotic expansion as prior knowledge in the "deep BSDE solver", which is a deep learning method for high dimensional BSDEs proposed by Weinan E, Han & Jentzen (2017), drastically reduces the loss function and accelerates the speed of convergence. We illustrate the technique and its implications by using Bergman's model with different lending and borrowing rates as a typical model for FVA as well as a class of solvable BSDEs with quadratic growth drivers. We also present an extension of the deep BSDE solver for reflected BSDEs representing American option prices.
Cite
@article{arxiv.1710.07030,
title = {Asymptotic Expansion as Prior Knowledge in Deep Learning Method for high dimensional BSDEs},
author = {Masaaki Fujii and Akihiko Takahashi and Masayuki Takahashi},
journal= {arXiv preprint arXiv:1710.07030},
year = {2019}
}
Comments
Forthcoming in APFM