Deep BSDE Solver on Bounded Domains Part I: General Loss Rate
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arXiv
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| Format: | Preprint |
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2025
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| _version_ | 1866911111505248256 |
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| author | Würschmidt, Maximilian |
| author_facet | Würschmidt, Maximilian |
| contents | We consider a ramification of the deep BSDE loss functional designed to apply for BSDEs on bounded domains, i.e. with random (unbounded) time horizons. We derive a general convergence rate of the loss functional; precisely for a class of (randomly) weighted modifications of the functional. The rate is expressed in terms of the underlying discrete-time stepsize and a universal approximation distance. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2508_14215 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Deep BSDE Solver on Bounded Domains Part I: General Loss Rate Würschmidt, Maximilian Probability Numerical Analysis 58J65, 65N75, 65N15 G.1.8; G.3 We consider a ramification of the deep BSDE loss functional designed to apply for BSDEs on bounded domains, i.e. with random (unbounded) time horizons. We derive a general convergence rate of the loss functional; precisely for a class of (randomly) weighted modifications of the functional. The rate is expressed in terms of the underlying discrete-time stepsize and a universal approximation distance. |
| title | Deep BSDE Solver on Bounded Domains Part I: General Loss Rate |
| topic | Probability Numerical Analysis 58J65, 65N75, 65N15 G.1.8; G.3 |
| url | https://arxiv.org/abs/2508.14215 |