Backward Deep BSDE Methods and Applications to Nonlinear Problems

Backward Deep BSDE Methods and Applications to Nonlinear Problems

We present a pathwise deep Backward Stochastic Differential Equation (BSDE) method for Forward Backward Stochastic Differential Equations with terminal conditions that time-steps the BSDE backwards and apply it to the differential rates problem as a prototypical nonlinear problem of independent fina...

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Bibliographic Details
Main Authors: Yajie Yu, Narayan Ganesan, Bernhard Hientzsch
Format: Article
Language:English
Published: MDPI AG 2023-03-01
Series:Risks
Subjects:
differential rates
FBSDEs
nonlinear pricing
deep learning for pricing
Online Access:https://www.mdpi.com/2227-9091/11/3/61

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