Convergence of the deep BSDE method for FBSDEs with non-Lipschitz coefficients
This paper is dedicated to solving high-dimensional coupled FBSDEs with non-Lipschitz diffusion coefficients numerically. Under mild conditions, we provided a posterior estimate of the numerical solution that holds for any time duration. This posterior estimate validates the convergence of the recen...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
| Published: |
American Institute of Mathematical Sciences
2022
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