DeepAI
Log In Sign Up

Convergence of the Deep BSDE method for FBSDEs with non-Lipschitz coefficients

01/06/2021
by   Yifan Jiang, et al.
0

This paper is dedicated to solve high-dimensional coupled FBSDEs with non-Lipschitz diffusion coefficients numerically. Under mild conditions, we provide a posterior estimate of the numerical solution which holds for arbitrary time duration. This posterior estimate justifies the convergence of the recently proposed Deep BSDE method. We also construct a numerical scheme based on the Deep BSDE method and present numerical examples in financial markets to show the high performance.

READ FULL TEXT

page 1

page 2

page 3

page 4

03/13/2022

Convergence of Numerical Solution of The Tamed Milstein Method for NSDDEs

In this paper, we apply the tamed technique to the Milstein numerical sc...
12/30/2021

Weak approximations of nonlinear SDEs with non-globally Lipschitz continuous coefficients

As opposed to an overwhelming number of works on strong approximations, ...
04/14/2022

A deep first-order system least squares method for solving elliptic PDEs

We propose a First-Order System Least Squares (FOSLS) method based on de...
12/08/2021

Broadening the convergence domain of Seventh-order method satisfying Lipschitz and Hölder conditions

In this paper, the local convergence analysis of the multi-step seventh ...
03/01/2022

Finite difference method for stochastic Cahn–Hilliard equation: Strong convergence rate and density convergence

This paper presents the strong convergence rate and density convergence ...
12/22/2020

On the identification of piecewise constant coefficients in optical diffusion tomography by level set

In this paper, we propose a level set regularization approach combined w...