Solving Coupled Nonlinear Forward-backward Stochastic Differential Equations: An Optimization Perspective with Backward Measurability Loss
Optimization and Control
2023-11-28 v2
Abstract
This paper aims to extend the BML method proposed in Wang et al. [22] to make it applicable to more general coupled nonlinear FBSDEs. We interpret BML from the fixed-point iteration perspective and show that optimizing BML is equivalent to minimizing the distance between two consecutive trial solutions in a fixed-point iteration. Thus, this paper provides a theoretical foundation for an optimization-based approach to solving FBSDEs. We also empirically evaluate the method through four numerical experiments.
Keywords
Cite
@article{arxiv.2310.13562,
title = {Solving Coupled Nonlinear Forward-backward Stochastic Differential Equations: An Optimization Perspective with Backward Measurability Loss},
author = {Yutian Wang and Yuan-Hua Ni and Xun Li},
journal= {arXiv preprint arXiv:2310.13562},
year = {2023}
}