Three algorithms for solving high-dimensional fully-coupled FBSDEs through deep learning

07/11/2019

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by   Shaolin Ji, et al.

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Recently, the deep learning method has been used for solving forward backward stochastic differential equations (FBSDEs) and parabolic partial differential equations (PDEs). It has good accuracy and performance for high-dimensional problems. In this paper, we mainly solve fully coupled FBSDEs through deep learning and provide three algorithms. Several numerical results show remarkable performance especially for high-dimensional cases.