Results 31 to 40 of about 3,305 (167)

Hybrid Neural Networks for Solving Fully Coupled, High-Dimensional Forward–Backward Stochastic Differential Equations

Mathematics
The theory of forward–backward stochastic differential equations occupies an important position in stochastic analysis and practical applications. However, the numerical solution of forward–backward stochastic differential equations, especially for high ...
Mingcan Wang, Xiangjun Wang
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Study of Pricing of High-Dimensional Financial Derivatives Based on Deep Learning

Mathematics, 2023
Many problems in the fields of finance and actuarial science can be transformed into the problem of solving backward stochastic differential equations (BSDE) and partial differential equations (PDEs) with jumps, which are often difficult to solve in high-
Xiangdong Liu, Yu Gu
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Perturbed backward stochastic differential equations

Mathematical and Computer Modelling, 2012
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Janković, Svetlana, Jovanović, Miljana, Djordjević, Jasmina   +2 more
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Backward Stochastic Linear Quadratic Optimal Control with Expectational Equality Constraint

Mathematics
This paper investigates a backward stochastic linear quadratic control problem with an expected-type equality constraint on the initial state. By using the Lagrange multiplier method, the problem with a uniformly convex cost functional is first ...
Yanrong Lu, Jize Li, Yonghui Zhou
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On Deterministic and Stochastic Multiple Pathogen Epidemic Models

Epidemiologia, 2021
In this paper, we consider a stochastic epidemic model with two pathogens. In order to analyze the coexistence of two pathogens, we compute numerically the expectation time until extinction (the mean persistence time), which satisfies a stationary ...
Fernando Vadillo
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Terminal-Dependent Statistical Inference for the Integral Form of FBSDE

Discrete Dynamics in Nature and Society, 2013
Backward Stochastic Differential Equation (BSDE) has been well studied and widely applied. The main difference from the Original Stochastic Differential Equation (OSDE) is that the BSDE is designed to depend on a terminal condition, which is a key factor
Qi Zhang
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A stochastic Fubini theorem: BSDE method

Journal of Inequalities and Applications, 2017
In this paper, we prove a stochastic Fubini theorem by solving a special backward stochastic differential equation (BSDE, for short) which is different from the existing techniques. As an application, we obtain the well-posedness of a class of BSDEs with
Yanqing Wang
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Homogenization of periodic elliptic degenerate PDEs with non-linear Neumann boundary condition

Partial Differential Equations in Applied Mathematics, 2021
In this paper, a semi-linear elliptic partial differential equation (PDE) with non linear Neumann boundary condition and rapidly oscillating coefficients is homogenized.
Mohamed Marzougue, Ibrahima Sane
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Dynamic programming principle for backward doubly stochastic recursive optimal control problem and sobolev weak solution of the stochastic Hamilton-Jacobi-Bellman equation

Fundamental Research
In this paper, we investigate a backward doubly stochastic recursive optimal control problem wherein the cost function is expressed as the solution to a backward doubly stochastic differential equation.
Yunhong Li, Anis Matoussi, Lifeng Wei, Zhen Wu   +3 more
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Deep Learning Methods for Mean Field Control Problems With Delay

Frontiers in Applied Mathematics and Statistics, 2020
We consider a general class of mean field control problems described by stochastic delayed differential equations of McKean–Vlasov type. Two numerical algorithms are provided based on deep learning techniques, one is to directly parameterize the optimal ...
Jean-Pierre Fouque, Zhaoyu Zhang
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