Deep backward stochastic differential equation method: Difference between revisions

Revision as of 13:46, 8 July 2024

Revision as of 13:46, 8 July 2024

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==History==

BSDEs were first introduced by Pardoux and Peng in 1990 <ref name="Pardoux1990">{{cite journal | last1=Pardoux | first1=E. | last2=Peng | first2=S. | title=Adapted solution of a backward stochastic differential equation | journal=Systems & Control Letters | volume=14 | issue=1 | pages=55-61 | year=1990 }}</ref> and have since become essential tools in [[stochastic control]] and [[financial mathematics]]. The combination of deep learning with BSDEs, known as deep BSDE, was proposed by Han, Jentzen, and E in 2018 as a solution to the high-dimensional challenges faced by traditional numerical methods<ref name="Han2018" />.

and have since become essential tools in [[stochastic control]] and [[financial mathematics]]. The combination of deep learning with BSDEs, known as deep BSDE, was proposed by Han, Jentzen, and E in 2018 as a solution to the high-dimensional challenges faced by traditional numerical methods<ref name="Han2018" />.

==Model==