A Deep Learning-Based Method for Fully Coupled Non-Markovian FBSDEs with Applications
NeutralArtificial Intelligence
- A new method utilizing deep learning has been developed for solving fully coupled non-Markovian forward-backward stochastic differential equations (FBSDEs). This approach extends existing numerical methods by providing error estimates and convergence analysis, particularly focusing on scenarios where both drift and diffusion coefficients are random and dependent on backward components.
- This advancement is significant as it enhances the numerical techniques available for tackling complex utility maximization problems under rough volatility, potentially leading to more effective financial modeling and decision-making in uncertain environments.
- The introduction of this deep learning-based framework aligns with ongoing efforts to improve computational methods in various fields, including fluid dynamics and reinforcement learning, where similar innovative approaches are being explored to address high-dimensional and stochastic challenges.
— via World Pulse Now AI Editorial System
