• Corpus ID: 246035973

Convergence of a robust deep FBSDE method for stochastic control

@article{Andersson2022ConvergenceOA,
  title={Convergence of a robust deep FBSDE method for stochastic control},
  author={Kristoffer Andersson and Adam Andersson and Cornelis W. Oosterlee},
  journal={ArXiv},
  year={2022},
  volume={abs/2201.06854}
}
In this paper we propose a deep learning based numerical scheme for strongly coupled FBSDE, stemming from stochastic control. It is a modification of the deep BSDE method in which the initial value to the backward equation is not a free parameter, and with a new loss function being the weighted sum of the cost of the control problem, and a variance term which coincides with the means square error in the terminal condition. We show by a numerical example that a direct extension of the classical… 
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