"Convergence of the deep BSDE method for stochastic control problems ..."

Zhipeng Huang, Balint Negyesi, Cornelis W. Oosterlee (2025)

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DOI: 10.1016/J.MATCOM.2024.08.002

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type: Journal Article

metadata version: 2024-09-20

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Zhipeng Huang, Balint Negyesi, Cornelis W. Oosterlee:
Convergence of the deep BSDE method for stochastic control problems formulated through the stochastic maximum principle. Math. Comput. Simul. 227: 553-568 (2025)

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