A Deep Learning-Based Method for Fully Coupled Non-Markovian FBSDEs with Applications
PositiveArtificial Intelligence
The recent development of a deep learning-based method for fully coupled non-Markovian FBSDEs represents a significant advancement in numerical analysis. This method not only extends existing literature by analyzing non-Markovian frameworks but also addresses fully coupled settings where both drift and diffusion coefficients are influenced by backward components. The authors provide error estimates and convergence analysis, ensuring the reliability of their approach. Furthermore, the practical applicability of this framework is illustrated through its use in solving utility maximization problems under rough volatility, a critical area in financial mathematics. This innovation could enhance decision-making processes in finance, showcasing the potential of deep learning techniques in complex stochastic modeling.
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