Deep backward stochastic differential equation method: Difference between revisions

Revision as of 14:35, 8 July 2024

Revision as of 14:36, 8 July 2024

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===Backward stochastic differential equation===

Backward Stochastic Differential Equations (BSDEs) represent a powerful mathematical tool extensively applied in fields such as [[stochastic control]], [[financial mathematics]], and beyond. Unlike traditional [[Stochastic differential equations ]](SDEs), which are solved forward in time, BSDEs are solved backward, starting from a future time and moving backwards to the present. This unique characteristic makes BSDEs particularly suitable for problems involving terminal conditions and uncertainties<ref name="Pardoux1990">{{cite journal | last1=Pardoux, | first1=E., &| last2=Peng, | first2=S. (1990).| title=Adapted solution of a backward stochastic differential equation. *| journal=Systems & Control Letters, | volume=14*( | issue=1), | pages=55-61. | year=1990 }}</ref>.

==History==