Revision as of 12:44, 11 July 2024 edit AzzurroLan (talk \| contribs) 179 edits →Algorithms ← Previous edit		Revision as of 12:50, 11 July 2024 edit undo AzzurroLan (talk \| contribs) 179 edits →4. Temporal discretization Next edit →
Line 71: <math> u(t_n, X_{t_{n+1}}) - u(t_n, X_{t_n}) </math> :<math>\approx - f\left(t_n, X_{t_n}, u(t_n, X_{t_n}), \sigma^T(t_n, X_{t_n}) \nabla u(t_n, X_{t_n})\right) \Delta t_n + \left[\nabla u(t_n, X_{t_n}) \sigma(t_n, X_{t_n})\right] \Delta W_n </math>

Deep backward stochastic differential equation method: Difference between revisions