Convergence of the deep BSDE method for stochastic control problems formulated through the stochastic maximum principle

Fuente: arXiv

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Bibliographic Details
Main Authors:	Huang, Zhipeng, Negyesi, Balint, Oosterlee, Cornelis W.
Format:	Preprint
Published:	2024
Subjects:	Optimization and Control Numerical Analysis Computational Finance
Online Access:	Acceder al recurso
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Internet

https://arxiv.org/abs/2401.17472